/raid1/www/Hosts/bankrupt/TCR_Public/200913.mbx          T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, September 13, 2020, Vol. 24, No. 256

                            Headlines

ADAMS MILL: Moody's Lowers Rating on Class F Notes to Caa3
AGL CLO 7: S&P Assigns BB- (sf) Rating to $17MM Class E Notes
AGL CLO 7: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
ANGEL OAK 2020-6: Fitch Gives 'B(EXP)' Rating on Class B-2 Debt
APEX CREDIT 2019: Moody's Confirms Ba3 Rating on Class D Notes

ARES XXXIR: Moody's Lowers Rating on Class E Notes to Caa1
BANK 2017-BNK8: Fitch Affirms B-sf Rating on Class F Certs
BARINGS CLO 2015-I: Moody's Lowers Rating on Cl. F-R Notes to Caa2
BARINGS CLO 2015-II: Moody's Lowers Rating on Cl. F-R Notes to Caa2
BARINGS CLO 2018-I: Moody's Confirms Ba3 Rating on Cl. D Notes

BARINGS CLO 2018-III: S&P Affirms B+ (sf) Rating to Class E Notes
BATTALION CLO VII: Moody's Confirms B3 Rating on Class E-RR Notes
BEAR STEARNS 2006-PWR11: S&P Cuts Class B Certs Rating to 'D(sf)'
BENEFIT STREET XI: Moody's Lowers Rating on Class E Notes to Caa1
BENEFIT STREET XII: Moody's Lowers Rating on Class D Notes to B1

CARLYLE GLOBAL 2015-5: Moody's Lowers Rating on Cl. D-R Notes to B1
CARLYLE US 2018-3: Moody's Confirms Ba3 Rating on Class D Notes
CHASE AUTO 2020-1: Fitch Assigns Bsf Rating on Class F Notes
CIFC FUNDING 2014-V: Moody's Cuts Rating on Class F-R2 Notes to Caa
CIM TRUST 2020-INV1: Moody's Gives (P)B3 Rating on Class B-5 Debt

CITIGROUP COMMERCIAL 2016-P5: Fitch Affirms BB- Rating on E Certs
CLOVERIE PLC 2007-52: Fitch Hikes Credit-Linked Notes to 'BB+sf'
CROWN POINT 4: Moody's Confirms Ba3 Rating on Class E Notes
CUTWATER 2014-I: Moody's Lowers Rating on Class E Notes to Ca
DRYDEN 47: Moody's Confirms B3 Rating on $10MM Class F Notes

EATON VANCE 2014-1R: Moody's Confirms B3 Rating on Class F Notes
ELEVATION CLO 2018-10: Moody's Confirms Ba3 Rating on Cl. E Notes
EXETER AUTOMOBILE 2020-3: S&P Assigns Prelim B Rating to F Notes
GALAXY XXIV: Moody's Confirms Ba3 Rating on Class E Notes
GS MORTGAGE 2013-GCJ16: Moody's Cuts Class G Certs to Caa1

HALCYON LOAN 2017-2: Moody's Confirms Ba3 Rating on Class D Notes
INSITE WIRELESS 2020-1: Fitch to Rate Class C Notes 'BB-sf'
KKR CLO 25: Moody's Confirms Ba3 Rating on Class E Notes
LEGACY MORTGAGE 2019-RPL1: Moody's Gives B- Rating on Cl. B2 Debt
MARBLE POINT XVIII: S&P Assigns BB- (sf) Rating to Class E Notes

MERCER FIELD II: Moody's Lowers Rating on Class D-2 Notes to B1
MSJP COMMERCIAL 2015-HAUL: Fitch Affirms BBsf Rating on Cl. E Debt
REGIONAL TRUST 2020-1: S&P Assigns Prelim 'BB+' Rating to D Notes
SDART 2018-5: Fitch Affirms BBsf Rating on Class E1 Notes
SDART 2020-3: Moody's Assigns (P)B2 Rating on Class E Notes

SHACKLETON 2014-V-R: Moody's Lowers Rating on Class F Notes to Caa2
SOUND POINT XVIII: Moody's Confirms Ba3 Rating on Class D Notes
STRATUS CLO 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes
STRUCTURED AGENCY 2014-DN2: Fitch Cuts Ratings on 4 Tranches to Bsf
SYMPHONY CLO XV: Moody's Lowers Rating on Class F-R2 Notes to Caa2

VENTURE 36: Moody's Confirms Ba3 Rating on Class E Notes
VENTURE XVII: Moody's Lowers Rating on Class F-RR Notes to Caa1
VIBRANT CLO VI: Moody's Lowers Rating on Class E Notes to B1
VIBRANT CLO VIII: Moody's Confirms Ba3 Rating on Class D Notes
VIBRANT CLO X: Moody's Confirms Ba3 Rating on Class D Notes

VOYA CLO 2015-1: Moody's Lowers Rating on Cl. E-R Notes to Caa3
WELLS FARGO 2012-C7: Fitch Lowers Rating on Class G Certs to CCsf
WELLS FARGO 2015-P2: Fitch Affirms Bsf Rating on Class F Certs
WELLS FARGO 2017-C41: Fitch Affirms Bsf Rating on Cl. G-RR Debt
WELLS FARGO 2020-RR1: Fitch to Rate Class B-5 Debt 'B(EXP)'

WELLS FARGO 2020-RR1: Moody's Assigns (P)B1 Rating on Cl. B-5 Debt
WEST CLO 2014-2: Moody's Lowers Rating on Class E Notes to Caa1
WIND RIVER 2016-1: Moody's Lowers Rating on Class E-R Notes to B1
ZAIS CLO 16: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
[*] S&P Takes Various Actions on 196 Classes From 40 US CLO Deals


                            *********

ADAMS MILL: Moody's Lowers Rating on Class F Notes to Caa3
----------------------------------------------------------
Moody's Investors Service upgraded the ratings on the following
notes issued by Adams Mill CLO Ltd.:

US$46,625,000 Class B-1-R Senior Floating Rate Notes due 2026 (the
"Class B-1-R Notes"), Upgraded to Aaa (sf); previously on July 27,
2018 Affirmed Aa1 (sf)

US$25,000,000 Class B-2-R Senior Fixed Rate Notes due 2026 (the
"Class B-2-R Notes"), Upgraded to Aaa (sf); previously on July 27,
2018 Affirmed Aa1 (sf)

US$17,125,000 Class C-1-R Deferrable Mezzanine Floating Rate Notes
due 2026 (the "Class C-1-R Notes"), Upgraded to Aa3 (sf);
previously on July 27, 2018 Affirmed A2 (sf)

US$7,000,000 Class C-2-R Deferrable Mezzanine Fixed Rate Notes due
2026 (the "Class C-2-R Notes"), Upgraded to Aa3 (sf); previously on
July 27, 2018 Affirmed A2 (sf)

The Class B-1-R Notes, Class B-2-R Notes, Class C-1-R Notes, and
Class C-2-R Notes are referred to herein, collectively, as the
"Upgraded Notes."

Moody's also downgraded the ratings on the following notes:

US$22,750,000 Class E-1 Deferrable Mezzanine Floating Rate Notes
due 2026 (the "Class E-1 Notes"), Downgraded to B1 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$6,000,000 Class E-2 Deferrable Mezzanine Floating Rate Notes due
2026 (the "Class E-2 Notes"), Downgraded to B1 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$11,750,000 Class F Deferrable Mezzanine Floating Rate Notes due
2026 (current outstanding balance of $11,955,203.33) (the "Class F
Notes"), Downgraded to Caa3 (sf); previously on June 3, 2020 Caa2
(sf) Placed Under Review for Possible Downgrade

The Class E-1 Notes, Class E-2 Notes, and the Class F Notes are
referred to herein, collectively, as the "Downgraded Notes."

Additionally, Moody's confirmed the ratings on the following
notes:

US$30,375,000 Class D-1 Deferrable Mezzanine Floating Rate Notes
due 2026, Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3
(sf) Placed Under Review for Possible Downgrade

US$2,000,000 Class D-2 Deferrable Mezzanine Floating Rate Notes due
2026, Confirmed at Baa3 (sf); previously on June 3, 2020 Baa3 (sf)
Placed Under Review for Possible Downgrade

The Class D-1 Notes and Class D-2 Notes are referred to herein as
the "Confirmed Notes."

These actions conclude the review for downgrade initiated on June
3, 2020 on the Class D-1, Class D-2, Class E-1, Class E-2, and
Class F Notes issued by the CLO. The CLO, originally issued in
August 2014 and partially refinanced in July 2017, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2018.

RATINGS RATIONALE

The upgrade actions are primarily a result of actual and expected
deleveraging of the more senior notes, and an increase in the
transaction's over-collateralization (OC) ratios over the last
twelve months. Since August 2019, the Class A-1-R and Class A-2-R
Notes have been paid down by approximately 27.4% or $68.1 million.
Based on the August 2020 trustee report [1], the OC ratio for the
Class A/B notes is 137.40%, versus 135.61% reported in August
2019[2].

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to most of the CLO notes has
declined, and expected losses (ELs) on certain notes have
increased.

According to the August 2020 trustee report [3], the weighted
average rating factor (WARF) was reported at 3260, compared to 3097
reported in the March 2020 trustee report [4]. Moody's also noted
that the WARF was failing the test level of 2336 reported in the
August 2020 trustee report [5]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 21%.
According to the August 2020 trustee report [6], the OC test ratio
for the Class E-1 Notes and Class E-2 Notes was recently reported
at 102.69% and failing the trigger level of 103.60%.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual OC
levels. Consequently, Moody's has confirmed the ratings on the
Confirmed Notes.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $343,806,853

Defaulted Securities: $24,922,907

Diversity Score: 58

Weighted Average Rating Factor (WARF): 3249

Weighted Average Life (WAL): 3.56 years

Weighted Average Spread (WAS): 3.10%

Weighted Average Recovery Rate (WARR): 48.06%

Par haircut in OC tests and interest diversion test: 2.36%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


AGL CLO 7: S&P Assigns BB- (sf) Rating to $17MM Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to AGL CLO 7 Ltd./AGL CLO 7
LLC's floating-rate notes.

The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The ratings reflect:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral management team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  RATINGS ASSIGNED

  AGL CLO 7 Ltd./AGL CLO 7 LLC

  Class                Rating       Amount (mil. $)
  A-1                  AAA (sf)              300.00
  A-2                  NR                     20.00
  B                    AA (sf)                60.00
  C (deferrable)       A (sf)                 27.50
  D (deferrable)       BBB- (sf)              27.50
  E (deferrable)       BB- (sf)               17.00
  Subordinated notes   NR                     49.80

  NR--Not rated.


AGL CLO 7: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to AGL CLO 7
Ltd./AGL CLO 7 LLC's floating-rate notes.

The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade senior secured term loans that are
governed by collateral quality tests.

The preliminary ratings are based on information as of Sept. 9,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans that are governed by collateral
quality tests.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  PRELIMINARY RATINGS ASSIGNED

  AGL CLO 7 Ltd./AGL CLO 7 LLC

  Class                Rating       Amount (mil. $)
  A-1                  AAA (sf)              300.00
  A-2                  NR                     20.00
  B                    AA (sf)                60.00
  C (deferrable)       A (sf)                 27.50
  D (deferrable)       BBB- (sf)              27.50
  E (deferrable)       BB- (sf)               17.00
  Subordinated notes   NR                     49.80

  NR--Not rated.



ANGEL OAK 2020-6: Fitch Gives 'B(EXP)' Rating on Class B-2 Debt
---------------------------------------------------------------
Fitch has assigned expected ratings to Angel Oak Mortgage Trust
2020-6 (AOMT 2020-6).

RATING ACTIONS

AOMT 2020-6

Class A-1; LT AAA(EXP)sf Expected Rating

Class A-2; LT AA(EXP)sf Expected Rating

Class A-3; LT A(EXP)sf Expected Rating

Class A-IO-S; LT NR(EXP)sf Expected Rating

Class B-1; LT BB(EXP)sf Expected Rating

Class B-2; LT B(EXP)sf Expected Rating

Class B-X; LT NR(EXP)sf Expected Rating

Class M-1; LT BBB(EXP)sf Expected Rating

The certificates are supported by 667 loans with a balance of
$311.54 million as of the cutoff date. This will be the 12th
Fitch-rated transaction consisting of loans originated mainly by
several Angel Oak-affiliated entities (collectively, Angel Oak).

The certificates are secured mainly by nonqualified mortgages
(Non-QM) as defined by the Ability to Repay (ATR) rule.
Approximately half of the loans were originated by several Angel
Oak entities, which include Angel Oak Mortgage Solutions LLC (AOMS)
(51.9%), Angel Oak Home Loans LLC (AOHL) (2.1%) and Angel Oak Prime
Bridge LLC (AOPB) (0.1%). A total of 15.2% was aggregated by SG
Capital Partners, and the remaining 30.7% of loans were originated
by other third-party originators. Of the pool, 80.2% comprises
loans designated as Non-QM, and the remaining 19.8% are investment
properties not subject to ATR.

KEY RATING DRIVERS

Revised GDP Due to the Coronavirus: The coronavirus pandemic and
the resulting containment efforts have resulted in revisions to
Fitch's GDP estimates for 2020. Fitch's baseline global economic
outlook for U.S. GDP growth is currently a 5.6% decline for 2020,
down from 1.7% for 2019. Fitch's downside scenario would see an
even larger decline in output in 2020 and a weaker recovery in
2021. To account for declining macroeconomic conditions resulting
from the coronavirus pandemic, an Economic Risk Factor (ERF) floor
of 2.0 (the ERF is a default variable in the U.S. RMBS loan loss
model) was applied to 'BBBsf' and below.

Liquidity Stress for Payment Forbearance (Negative): The outbreak
of the coronavirus pandemic and widespread containment efforts in
the U.S. will result in increased unemployment and cash flow
disruptions. To account for the cash flow disruptions, Fitch
assumed deferred payments on a minimum of 40% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. This assumption is based on observations of legacy
Alt-A delinquencies and past due payments following Hurricane Maria
in Puerto Rico. The cash flows on the certificates will not be
disrupted for the first six months due to P&I advancing on
delinquent loans by the servicer; however, after month six, the
lowest ranked classes may be vulnerable to temporary interest
shortfalls to the extent there are not enough funds available once
the more senior bonds are paid.

Stop Advance Structure (Mixed): The transaction has a stop advance
feature where the servicer will advance delinquent P&I up to 180
days. While the limited advancing of delinquent P&I benefits the
pool's projected loss severity (LS), it reduces liquidity. To
account for the reduced liquidity of a limited advancing structure,
principal collections are available to pay timely interest to the
'AAAsf', 'AAsf' and 'Asf' rated bonds. Fitch expects 'AAAsf'- and
'AAsf'-rated bonds to receive timely payments of interest and all
other bonds to receive ultimate interest. Additionally, as of the
closing date, the deal benefits from approximately 331 bps of
excess spread, which will be available to cover shortfalls prior to
any write-downs.

The servicer Select Portfolio Servicing (SPS) will provide P&I
advancing on delinquent loans (even the loans on a coronavirus
forbearance plan). If SPS is not able to advance, the master
servicer (Wells Fargo Bank) will advance P&I on the certificates.

Payment Forbearance (Mixed): As of Aug. 13, 2020, 14.9% of the
borrowers opted in for coronavirus relief and were put on a
forbearance plan; however, only 8.8% (46 loans) are currently on a
coronavirus relief plan while 6.1% of the borrowers that opted in
for relief are no longer on a forbearance plan as the term of their
coronavirus relief plan has expired and the borrowers are
contractually current as of Aug. 13, 2020, but were delinquent as
of the cut-off date. Of the 8.8% of borrowers that are still on a
coronavirus relief plan as of Aug. 13, 2020, 0.2% have been making
their payments and are contractually current, 1.5% have extended
the term of the plan and are three months delinquent (last payment
was in March 2020), 3.2% are three months delinquent (last payment
was in April 2020), 0.3% are two months delinquent (last payment
was in May 2020), and 2.4% are one-month delinquent (last payment
was in June 2020).

Additionally, 4.5% of the borrowers have opted out of their
coronavirus relief plan and are contractually current as of Aug.
13, 2020, and 6.3% of the pool has had one to three payments
deferred, but have been able to make their monthly payments post
deferral. Fitch treated these loans as clean current.

Further, 3.3% of the pool is not on a coronavirus relief plan, but
have had payments deferred. Of the 3.3%, 2.6% have made their
monthly payments after deferral, while 0.7% are not cash flowing.

Fitch considered borrowers who are on a coronavirus relief plan or
post deferral plan that are cash flowing as current while the
borrowers that are not cash flowing were treated as delinquent.

Angel Oak is offering borrowers up to an initial three-month
payment forbearance plan (some borrowers have been offered a
two-month payment forbearance plan). Beginning in month three (or
the expiration of the forbearance plan), the borrower can opt to
reinstate (i.e., repay the three missed mortgage payments in a lump
sum) or repay the missed amounts with a repayment plan. If
reinstatement or a repayment plan is not affordable, the missed
payments will be added to the end of the loan term due at payoff or
maturity as a deferred principal. If the borrower does not become
current under a repayment plan or is not able to make payments
after a deferral plan was granted, other loss mitigation options
will be pursued (including extending the forbearance term).

There are 38 loans in the pool that have had their forbearance plan
extended three months until Oct. 1, 2020. These loans have an
average FICO of 724, average original CLTV of 77.5%, and average
liquid cash reserves of $73,548. Eight borrowers in the pool
extended their forbearance plan by two months until Oct. 1, 2020.
These loans have an average FICO of 675, average original CLTV of
72.9%, and average liquid cash reserves of $44,866.

The servicer will continue to advance during the forbearance
period. Recoveries of advances will be repaid either from
reinstated or repaid amounts from loans where borrowers are on a
repayment plan. For loans with deferrals of missed payments, the
servicer can recover advances from the principal portion of
collections, which may result in a mismatch between the loan
balance and certificate balance. While this may increase realized
losses, the 331 bps of excess spread as of the closing date should
be available to absorb these amounts and reduce the potential for
write-downs.

If the borrower doesn't resume making payments, the loan will
likely become modified and the advancing party will be reimbursed
from available funds at the time of modification. Fitch increased
its loss expectations by adding 0.30% to the model output loss in
all rating categories to address the potential for write-downs due
to reimbursements of servicer advances. In addition, there is a
3.31% excess spread as of the closing date that will be available
to cover any write-downs due to reimbursements of servicer
advances.

Expanded Prime Credit Quality (Mixed): The collateral consists of
15-year, 20-year, 30-year and 40-year mainly fixed-rate loans
(26.6% of the loans are adjustable rate); 18.9% of the loans are IO
loans and the remaining 73.4% of the loans are fully amortizing
loans. The pool is seasoned approximately 10 months in aggregate,
as determined by Fitch. The borrowers in this pool have strong
credit profiles with a 723 weighted-average (WA) FICO, as
determined by Fitch, and moderate leverage (78.5% sLTV). In
addition, the pool contains 83 loans over $1 million and the
largest is $3.5 million. Self-employed borrowers make up about
73.7% of the pool, 17.1% of the pool are salaried employees, and
9.3% of the pool comprises investor cash flow loans. There are two
loans that are a second lien and represents 0.1% of the pool
balance.

Fitch considered 7.5% of borrowers as having a prior credit event
in the past seven years, and 12 loans in the pool were to
nonpermanent residents. The pool characteristics resemble recent
nonprime collateral, and therefore, the pool was analyzed using
Fitch's non-prime model.

Bank Statement Loans Included (Negative): Fitch determined that
62.4% of the loans in the pool (367 loans) were made to
self-employed borrowers underwritten to a bank statement program
(22.3% to a 24-month bank statement program and 40.1% to a 12-month
bank statement program) for verifying income in accordance with
either AOHL's or AOMS's guidelines, which is not consistent with
Appendix Q standards or Fitch's view of a full documentation
program. To reflect the additional risk, Fitch increases the
probability of default (PD) by 1.5x on the bank statement loans.

High Investor Property Concentration (Negative): Of the pool, 19.9%
comprises investment properties. Specifically, 10.6% of loans were
underwritten using the borrower's credit profile, while the
remaining 9.3% were originated through the originators' investor
cash flow program that targets real estate investors qualified on a
debt service coverage ratio (DSCR) basis. The borrowers of the
non-DSCR investor properties in the pool have strong credit
profiles, with a WA FICO of 723 (as calculated by Fitch) and an
original CLTV of approximately 75% and DSCR loans have a WA FICO of
723 (as calculated by Fitch) and an original CLTV of roughly 66%.
Fitch increased the PD by approximately 2.0x for the cash flow
ratio loans (relative to a traditional income documentation
investor loan) to account for the increased risk.

Geographic Concentration (Negative): Approximately 48% of the pool
is concentrated in California with relatively high MSA
concentration. The largest MSA concentration is in Los Angeles MSA
(29.4%) followed by the Miami MSA (8.7%) and the San Francisco MSA
(5.4%). The top three MSAs account for 43.5% of the pool. Due to
the large California concentration, Fitch increased the 'AAA'
expected loss by 0.87% to account for geographic concentration.

Hurricane Laura Impact (Negative): Hurricane Laura made landfall
over parts of Texas and Louisiana on Aug. 27, 2020. There are five
loans in the transaction that are in a Federal Emergency Management
Agency (FEMA) declared disaster area. These five loans comprise
0.20% of the pool by unpaid balance. Assuming 100% of these loans
have damage and a loss severity of 100%, the loss would be 0.20%.
Fitch increased the model output by 0.20% to account for the impact
of Hurricane Laura.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A
certificates while shutting out the subordinate bonds from
principal until all three classes have been reduced to zero. To the
extent that either the cumulative loss trigger event or the
delinquency trigger event occurs in a given period, principal will
be distributed sequentially to the class A-1, A-2 and A-3 bonds
until they are reduced to zero.

Low Operational Risk (Positive): Operational risk is well
controlled for in this transaction. Angel Oak employs sound
sourcing and underwriting processes and is assessed by Fitch as an
'Average' originator. Primary and master servicing responsibilities
will be performed by Select Portfolio Servicing, Inc. (SPS) and
Wells Fargo Bank, NA (Wells Fargo), rated by Fitch at 'RPS1-' and
'RMS1-', respectively. Fitch decreased its expected loss at the
'AAAsf' rating stress by approximately 220 bps to reflect strong
counterparties with established servicing platforms and operating
experience in non-agency PLS. The sponsor's retention of an
eligible horizontal residual interest of at least 5% helps ensure
an alignment of interest between the issuer and investors.

R&W Framework (Negative): AOHL will be providing loan-level
representations and warranties (R&W) to the loans in the trust. If
the entity is no longer an ongoing business concern, it will assign
to the trust its rights under the mortgage loan purchase agreements
with the originators, which include repurchase remedies for R&W
breaches. While the loan-level reps for this transaction are
substantially consistent with a Tier I framework, the lack of an
automatic review for loans other than those with ATR realized loss
and the nature of the prescriptive breach tests, which limit the
breach reviewers' ability to identify or respond to issues not
fully anticipated at closing, resulted in a Tier 2 framework. Fitch
increased its loss expectations (88bps at the AAAsf rating
category) to mitigate the limitations of the framework and the
noninvestment-grade counterparty risk of the providers.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of loans in the transaction pool. The reviews
were conducted by four different third-party review (TPR) firms,
all of which are reviewed and approved by Fitch. The results of the
review confirm sound origination practices with minimal incidence
of material exceptions. Loans that received a final grade of 'B'
had immaterial exceptions and either had strong compensating
factors or accounted for in Fitch's loan loss model. Fitch applied
a credit for the high percentage of loan level due diligence which
reduced the 'AAAsf' loss expectation by 45 bps.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. The implied rating sensitivities are only
an indication of some of the potential outcomes and do not consider
other risk factors that the transaction may become exposed to or
that may be considered in the surveillance of the transaction.

Sensitivity analyses was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool, as well
as lower MVDs, illustrated by a gain in home prices.

Factors that Could, Individually or Collectively, Lead to a
Negative Rating Action/Downgrade:

This defined negative stress sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 7.6% at the base case. This analysis indicates that
there is some potential rating migration with higher MVDs compared
with the model projection.

Factors that Could, Individually or Collectively, Lead to a
Positive Rating Action/Upgrade:

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to negative MVDs at the national level, or
positive home price growth with no assumed overvaluation. The
analysis assumes positive home price growth of 10.0%. Excluding the
senior classes which are already 'AAAsf', the analysis indicates
there is potential positive rating migration for all of the rated
classes.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

Fitch has also added a coronavirus sensitivity analysis that
contemplates a more severe and prolonged economic stress caused by
a re-emergence of infections in the major economies, before a slow
recovery begins in 2Q21. Under this severe scenario, Fitch expects
the ratings to be impacted by changes in its sustainable home price
model due to updates to the model's underlying economic data
inputs. Any long-term impact arising from coronavirus disruptions
on these economic inputs will likely affect both investment and
speculative grade ratings Fitch's stress and rating sensitivity
analysis are discussed in its presale report "Angel Oak Mortgage
Trust 2020-6".

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC,
Clayton, Inglet Blair, and EdgeMAC were engaged to perform the
review. Loans reviewed under this engagement were given compliance,
credit and valuation grades, and assigned initial grades for each
subcategory. Minimal exceptions and waivers were noted in the due
diligence reports. Refer to the Third-Party Due Diligence section
for more detail.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


APEX CREDIT 2019: Moody's Confirms Ba3 Rating on Class D Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Apex Credit CLO 2019 Ltd.:

US$23,000,000 Class B Secured Deferrable Floating Rate Notes due
2032 (the "Class B Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$23,000,000 Class C Secured Deferrable Floating Rate Notes due
2032 (the "Class C Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$21,000,000 Class D Secured Deferrable Floating Rate Notes due
2032 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class B Notes, the Class C Notes, and the Class D Notes are
referred to herein as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C and Class D Notes and on June 3, 2020 on
the Class B Notes issued by the CLO. The CLO, originally issued in
May 2019, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period will end in
April 2024.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3194, compared to 2650
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2864 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
18.6%. Moody's noted that the OC tests for all classes were
recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $392,971,319

Defaulted Securities: $6,152,203

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3196

Weighted Average Life (WAL): 5.9 years

Weighted Average Spread (WAS): 3.71%

Weighted Average Recovery Rate (WARR): 46.9%

Par haircut in OC tests and interest diversion test: 1.2%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


ARES XXXIR: Moody's Lowers Rating on Class E Notes to Caa1
----------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Ares XXXIIR CLO Ltd.:

US$9,900,000 Class E Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on
June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class E Notes are referred to herein as the "Downgraded
Notes."

Moody's also confirmed the ratings on the following notes:

US$32,000,000 Class C Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class C Notes"), Confirmed at Baa3 (sf); previously on
June 3, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$22,000,000 Class D Mezzanine Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class C, Class D, and Class E Notes issued by the
CLO. The CLO, originally issued in April 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end on May 2023.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3384, compared to 3022
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3028 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
15.3%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $481.6
million, or $13.4 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted that the OC tests for the
Class A, Class B, Class C and Class D Notes, as well as the
reinvestment overcollateralization test were recently reported [4]
as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $477,875,059

Defaulted Securities: $9,599,361

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3369

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.45%

Weighted Average Recovery Rate (WARR): 48.29%

Par haircut in O/C tests and interest diversion test: 0.5%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


BANK 2017-BNK8: Fitch Affirms B-sf Rating on Class F Certs
----------------------------------------------------------
Fitch Ratings has affirmed 15 classes of BANK 2017-BNK8 Commercial
Mortgage Pass-Through Certificates, Series 2017-BNK8.

RATING ACTIONS

BANK 2017-BNK8

Class A-1 06650AAA5; LT AAAsf Affirmed; previously at AAAsf

Class A-2 06650AAB3; LT AAAsf Affirmed; previously at AAAsf

Class A-3 06650AAD9; LT AAAsf Affirmed; previously at AAAsf

Class A-4 06650AAE7; LT AAAsf Affirmed; previously at AAAsf

Class A-S 06650AAH0; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 06650AAC1; LT AAAsf Affirmed; previously at AAAsf

Class B 06650AAJ6; LT AA-sf Affirmed; previously at AA-sf

Class C 06650AAK3; LT A-sf Affirmed; previously at A-sf

Class D 06650AAU1; LT BBB-sf Affirmed; previously at BBB-sf

Class E 06650AAW7; LT BB-sf Affirmed; previously at BB-sf

Class F 06650AAY3; LT B-sf Affirmed; previously at B-sf

Class X-A 06650AAF4; LT AAAsf Affirmed; previously at AAAsf

Class X-B 06650AAG2; LT AA-sf Affirmed; previously at AA-sf

Class X-D 06650AAL1; LT BBB-sf Affirmed; previously at BBB-sf

Class X-E 06650AAN7; LT BB-sf Affirmed; previously at BB-sf

KEY RATING DRIVERS

Increased Loss Expectations: Despite an increase in loss
expectations since the last rating action due to the
underperformance of Fitch Loans of Concern (FLOCs), the overall
pool performance remains stable. Fitch identified five loans
(10.8%), including two loans in special servicing (1.9%), as FLOCs
due to the loss of a large tenant or performance concerns stemming
from the coronavirus-related economic decline. Two loans (8.5%) are
within the top 15.

Fitch Loans of Concern: The largest FLOC, DHG Greater Boston Hotel
Portfolio (6.2%), is secured by a portfolio of three hotels: the
VERVE Boston Natick (251 rooms), the Holiday Inn Boston-Bunker Hill
(184 rooms) and the Hampton Inn Boston Natick (188 rooms). As of
TTM March 31, 2020 servicer reported occupancy and debt service
coverage ratio (DSCR) were 62.6% and 1.86x, respectively, compared
to 75.3% and 1.93x at YE 2018. The borrower notified the master
servicer of COVID-19 related hardships. Fitch applied an additional
stress to NOI due to performance concerns associated with the
coronavirus pandemic.

The second largest FLOC, Tucson Place Shopping Center (2.2% of the
pool), is secured by a 273,519-sf retail property located in
Tucson, AZ. Anchors tenants include Walmart (31.8% NRA, expiring
May 31, 2024) and Best Buy (18.5% NRA, expiring April 30, 2024).
Large tenants include Office Max (9% NRA, expiring Jan. 31, 2025),
Beall's Outlet (6.6% NRA, expiring May 31, 2026) and Petco (5.3%
NRA, expiring Jan. 31, 2026). As of YE 2019, servicer reported
occupancy and DSCR were 97.3% and 1.46x, respectively, compared to
96.9% and 1.52x at YE 2018. Fitch applied an additional stress to
NOI due to performance concerns associated with the coronavirus
pandemic.

The third largest FLOC and largest specially serviced asset, Best
Western Plus Silverdale Beach Hotel (1.3% of the pool), is secured
by 151 room lodging property located in Silverdale, WA. The loan is
90 days delinquent and transferred to special servicing on June 9,
2020 due to imminent default. Fitch applied an additional stress to
the YE 2019 reported NOI to value the property.

The other two FLOCs (1.1%) are a specially serviced asset (0.6%)
that is 90 days delinquent and secured by 51,053 sf office property
located Greenacres, FL and a 51,978 sf office property (0.5%)
located in Boca Raton, FL with a decline in occupancy to 75% from
91% after Aerospace Corporation (25% NRA) went dark and vacated in
2019.

Minimal Change in Credit Enhancement: As of the August 2020
distribution date, the pool's aggregate principal balance has paid
down by $3.2 million (0.3%) to $1.12 billion from $1.13 billion at
issuance. No loans are defeased. Nineteen loans, representing 66.1%
of the pool, are full-term interest-only. Fourteen loans,
representing 19.1% of the pool, were structured with a partial
interest-only component; four loans (2.5%) have begun to amortize.
Based on the scheduled balance at maturity, the pool will pay down
by only 5.1%.

Coronavirus Exposure: Significant economic impact to certain
hotels, retail, and multifamily properties have materialized as a
result of reductions in travel and tourism, temporary property
closures and lack of clarity on the potential duration of the
pandemic. The pandemic has prompted the closure of several hotel
properties in gateway cities as well as malls, entertainment
venues, and individual stores. In the current pool, there are there
are seven loans (14.1%) that are secured by multifamily properties,
15 loans (13.1%) that are secured by retail properties and three
loans (8.3%) that are secured by hotel properties. Fitch's base
case analysis applied an additional NOI stress to three retail
loans (2.7%) and two hotel loans (7.5%) that did not meet certain
performance thresholds.

Concentration: The top 10 loans represent 69.8% of the pool by
balance. The transaction contains eight loans (2.4% of the pool)
secured by multifamily cooperatives. Most of the co-ops are located
within the greater New York City metro area.

Investment-Grade Credit Opinion Loans: Two of the top 15 loans were
assigned standalone investment grade credit opinions at issuance,
Colorado Center (7.1% of the pool) and 237 Park Avenue (6.2% of the
pool).

RATING SENSITIVITIES

The Negative Outlook on classes E, X-E and F reflect performance
concerns with hotel and retail properties due to decline in travel
and commerce as a result of the coronavirus pandemic. The Stable
Outlooks on classes A-1 through D reflect the increasing CE,
continued amortization and overall stable performance of the
majority of the pool.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Factors that lead to upgrades would include stable to improved
asset performance coupled with pay down and/or defeasance. An
upgrade to classes B and C could occur with continued paydown and
improved pool performance, but would be limited as concentrations
increase. Classes would not be upgraded above 'Asf' if there is
likelihood of interest shortfalls. An upgrade to class D could
occur with significant improvement in CE and stabilization of the
FLOCs. Upgrades of classes E and F are not likely until the later
years of the transaction and only if the performance of the
remaining pool is stable and/or properties vulnerable to the
coronavirus return to pre-pandemic performance levels, and there is
sufficient CE to the classes.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Factors that lead to downgrades include an increase in pool level
losses from underperforming loans. Downgrades to the classes rated
'AAAsf' are not considered likely due to the position in the
capital structure but may occur at 'AAAsf' or 'AA+sf' should
interest shortfalls occur. Downgrades to classes B, C and D are
possible should additional defaults occur or loss expectations
increase. Downgrades to classes E and F are possible should pool
performance decline or FLOCs fail to stabilize.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects that a greater
percentage of classes may be assigned a Negative Outlook or those
with Negative Outlooks will be downgraded one or more categories.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


BARINGS CLO 2015-I: Moody's Lowers Rating on Cl. F-R Notes to Caa2
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Barings CLO Ltd. 2015-I:

US$29,100,000 Class E-R Secured Deferrable Floating Rate Notes due
2031 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$7,000,000 Class F-R Secured Deferrable Floating Rate Notes due
2031 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously
on April 17, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

The Class E-R Notes and the Class F-R Notes are referred to herein,
collectively, as the "Downgraded Notes."

Moody's also confirmed the rating on the following notes:

US$34,400,000 Class D-R Secured Deferrable Floating Rate Notes due
2031 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

The Class D-R Notes are referred to herein, as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D-R, Class E-R, and Class F-R Notes issued by
the CLO. The CLO, originally issued in April 2015 and refinanced in
February 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in January 2023.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the rating on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3231, compared to 2845
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2997 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.7%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $475.5
million, or $21 million less than the deal's ramp-up target par
balance. Moody's noted that the interest diversion test was
recently reported as failing, which could result in a portion of
excess interest collections being diverted towards reinvestment in
collateral at the next payment date should the failures continue.
Nevertheless, Moody's noted that the OC tests for the Class B-R,
Class C-R, Class D-R, and Class E-R Notes were recently reported
[4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $472,690,987

Defaulted Securities: $3,983,634

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3229

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.39%

Weighted Average Recovery Rate (WARR): 47.2%

Par haircut in OC tests and interest diversion test: 0.2%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


BARINGS CLO 2015-II: Moody's Lowers Rating on Cl. F-R Notes to Caa2
-------------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Barings CLO Ltd. 2015-II:

US$10,000,000 Class F-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class F-R Notes"), Downgraded to Caa2 (sf);
previously on June 3, 2020 B3 (sf) Placed Under Review for Possible
Downgrade

The Class F-R Notes are referred to herein, as the "Downgraded
Notes."

Moody's also confirmed the ratings on the following notes:

US$31,250,000 Class D-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class D-R Notes"), Confirmed at Baa3 (sf);
previously on June 3, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$26,250,000 Class E-R Senior Secured Deferrable Floating Rate
Notes due 2030 (the "Class E-R Notes"), Confirmed at Ba3 (sf);
previously on June 3, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class D-R and Class E-R Notes are referred to herein, as the
"Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D-R, Class E-R, and Class F-R Notes issued by
the CLO. The CLO, originally issued in August 2015 and refinanced
in October 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in October 2022.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the rating on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3231, compared to 2887
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2979 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.6% as of August 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $486.3 million, or $13.7 million less than the
deal's ramp-up target par balance. Moody's noted that the OC test
for the Class E-R notes and the interest diversion test were
recently reported as failing, which could result in repayment of
senior notes or in a portion of excess interest collections being
diverted towards reinvestment in collateral at the next payment
date should the failures continue. Nevertheless, Moody's noted that
the OC tests for the Class B-R, Class C-R, Class D-R and were
recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $484,174,184

Defaulted Securities: $4,399,617

Diversity Score: 74

Weighted Average Rating Factor (WARF): 3250

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.32%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in O/C tests and interest diversion test: 0.99%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


BARINGS CLO 2018-I: Moody's Confirms Ba3 Rating on Cl. D Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Barings CLO Ltd. 2018-I:

US$33,000,000 Class C Secured Deferrable Mezzanine Floating Rate
Notes due 2031 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$22,000,000 Class D Secured Deferrable Mezzanine Floating Rate
Notes due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class C and Class D Notes are referred to herein, collectively,
as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Confirmed Notes issued by the CLO. The CLO, issued
in April 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3279, compared to 2830
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2858 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
20.6%. Moody's noted that all OC tests, as well as the interest
diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $536,806,183

Defaulted Securities: $2,138,364

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3279

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.3%

Weighted Average Recovery Rate (WARR): 47.8%

Par haircut in OC tests and interest diversion test: 0.9%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


BARINGS CLO 2018-III: S&P Affirms B+ (sf) Rating to Class E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its 'AA (sf)' rating to the $18.75
million class B-2-R replacement notes from Barings CLO Ltd.
2018-III, a CLO originally issued in 2018 that is managed by
Barings LLC. S&P withdrew its rating on the class B-2 notes
following payment in full on the Sept. 10, 2020, refinancing date.
At the same time, S&P affirmed its ratings on the original class
A-1, B-1, C, D, E, and F notes.

On the Sept. 10, 2020, refinancing date, the proceeds from the
class B-2-R replacement note issuance were used to redeem the
original class B-2 notes as outlined in the transaction document
provisions. Therefore, S&P withdrew its ratings on the refinanced
notes in line with their full redemption and assigned a rating to
the replacement notes.

The replacement notes are being issued via a proposed supplemental
indenture.

In line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and macroeconomic scenarios. In addition, S&P's analysis considered
the transaction's ability to pay timely interest or ultimate
principal, or both, to each of the rated tranches.

"The assigned ratings reflect our opinion that the credit support
available is commensurate with the associated rating levels," S&P
said.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them, and we will take rating actions as we
deem necessary," the rating agency said.

  RATING ASSIGNED

  Barings CLO Ltd. 2018-III
  Replacement class   Rating    Amount (mil $)
  B-2-R               AA (sf)            18.75

  RATINGS AFFIRMED

  Barings CLO Ltd. 2018-III
  Class               Rating
  A-1                 AAA (sf)
  B-1                 AA (sf)
  C                   A (sf)
  D                   BBB- (sf)
  E                   B+ (sf)
  F                   CCC+ (sf)

  RATING WITHDRAWN

  Barings CLO Ltd. 2018-III
                         Rating
  Original class      To       From
  B-2                 NR       AA (sf)

  NR--Not rated.


BATTALION CLO VII: Moody's Confirms B3 Rating on Class E-RR Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Battalion CLO VII Ltd.:

US$24,000,000 Class C-RR Senior Secured Deferrable Floating Rate
Notes due 2028 (the "Class C-RR Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$21,000,000 Class D-RR Secured Deferrable Floating Rate Notes due
2028 (the "Class D-RR Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$4,000,000 Class E-RR Secured Deferrable Floating Rate Notes due
2028 (the "Class E-RR Notes"), Confirmed at B3 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class C-RR Notes, the Class D-RR Notes, and the Class E-RR
Notes are referred to herein, collectively, as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-RR Notes, the Class D-RR Notes, and the
Class E-RR Notes issued by the CLO. The CLO, originally issued in
November 2014 and refinanced in April 2017 and in July 2018, is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in July 2020.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3393, compared to
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2991 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
22.3%. Nevertheless, Moody's noted that the OC tests for the Class
C-RR Notes and the Class D-RR Notes as well as the interest
diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $397,427, 380

Defaulted Securities: $4,674,202

Diversity Score: 58

Weighted Average Rating Factor (WARF): 3410

Weighted Average Life (WAL): 4.2 years

Weighted Average Spread (WAS): 3.70%

Weighted Average Recovery Rate (WARR): 47.88%

Par haircut in O/C tests and interest diversion test: 1.68%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our analysis has considered the effect on the performance of
corporate assets from the current weak U.S. economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around our forecasts is unusually high. We regard
the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


BEAR STEARNS 2006-PWR11: S&P Cuts Class B Certs Rating to 'D(sf)'
-----------------------------------------------------------------
S&P Global Ratings lowered its rating to 'D (sf)' from 'CCC- (sf)'
on the class B commercial mortgage pass-through certificates from
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR11, a
U.S. CMBS transaction.

The downgrade reflects principal losses on the affected class, as
detailed in the transaction's August 2020 trustee remittance
report.

According to the trustee remittance report, the class B
certificates experienced $11.6 million in principal losses this
reporting period due to the liquidation of the Hickory Point Mall
loan, an underlying mortgage asset within the trust. The asset's
liquidation resulted in a realized loss to the trust of $22.6
million.

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.


BENEFIT STREET XI: Moody's Lowers Rating on Class E Notes to Caa1
-----------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Benefit Street Partners CLO XI, Ltd.:

US$9,600,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on
June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class E Notes are referred to herein as the "Downgraded
Notes."

Moody's also confirmed the ratings on the following notes:

US$38,400,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2029 (the "Class C Notes"), Confirmed at Baa3 (sf); previously
on June 3, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$25,200,000 Class D Secured Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on
June 3, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes and Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class C Notes, Class D Notes, and Class E Notes
issued by the CLO. The CLO, originally issued in April 2017 and
partially refinanced in March 2020, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end on April 2022.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
and expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3305, compared to 2849
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2987 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
19.04%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $587.7
million, or $8.8 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted that the OC tests for the
Class C Notes, Class D Notes, as well as the interest diversion
test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $585,330,017.89

Defaulted Securities: $6,278,726.52

Diversity Score: 89

Weighted Average Rating Factor (WARF): 3314

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.42%

Weighted Average Recovery Rate (WARR): 47.7%

Par haircut in OC tests and interest diversion test: 1.12%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


BENEFIT STREET XII: Moody's Lowers Rating on Class D Notes to B1
----------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Benefit Street Partners CLO XII, Ltd.:

US$38,500,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class B Notes"), Downgraded to A3 (sf); previously
on October 19, 2017 Definitive Rating Assigned A2 (sf)

US$42,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Downgraded to Ba1 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$31,500,000 Class D Secured Deferrable Floating Rate Notes due
2030 (the "Class D Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class B Notes, the Class C Notes, and the Class D Notes are
referred to herein, collectively, as the "Downgraded Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C and Class D Notes issued by the CLO. The
CLO, issued in October 2017, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end on October 2022.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
and expected losses (ELs) on certain notes have increased.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3275, compared to 2860
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2999 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.57%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $682.4
million, or $17.6 million less than the deal's ramp-up target par
balance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $679,303,597

Defaulted Securities: $9,232,679

Diversity Score: 89

Weighted Average Rating Factor (WARF): 3254

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.41%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 0.44%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CARLYLE GLOBAL 2015-5: Moody's Lowers Rating on Cl. D-R Notes to B1
-------------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Carlyle Global Market Strategies CLO 2015-5, Ltd.:

US$29,700,000 Class D-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D-R Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class D-R Notes are referred to herein as the "Downgraded
Notes".

Moody's also confirmed the rating on the following notes:

US$30,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class C-R Notes are referred to herein as the "Confirmed
Notes".

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R notes and the Class D-R notes issued by
the CLO. The CLO, originally issued in December 2015 and refinanced
in February 2019, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in January 2024.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3383, compared to 3063
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3151 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 21%.
Furthermore, based on Moody's calculation, the total collateral par
balance, including recoveries from defaulted securities, is $486.7
million, or $13.3 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted that the OC tests for the
Class C-R notes and the Class D-R notes, as well as the interest
diversion test were recently reported as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $482,621,014

Defaulted Securities: $8,529,623

Diversity Score: 85

Weighted Average Rating Factor (WARF): 3344

Weighted Average Life (WAL): 5.78 years

Weighted Average Spread (WAS): 3.41%

Weighted Average Coupon (WAC): 8.0%

Weighted Average Recovery Rate (WARR): 47.95%

Par haircut in OC tests and interest diversion test: 0.40%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CARLYLE US 2018-3: Moody's Confirms Ba3 Rating on Class D Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Carlyle US CLO 2018-3, Ltd.:

US$25,400,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2030 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,800,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Confirmed Notes".

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and the Class D Notes issued by the
CLO. The CLO, issued in October 2018, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in October 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3401, compared to 2916
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3045 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 20%.
Nevertheless, Moody's noted that the OC tests for the Class C notes
and the Class D notes, as well as the interest diversion test were
recently reported as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $393,748,010

Defaulted Securities: $3,817,643

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3377

Weighted Average Life (WAL): 5.89 years

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 8.0%

Weighted Average Recovery Rate (WARR): 47.99%

Par haircut in OC tests and interest diversion test: 1.10%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes, and dependent secured notes, is
subject to uncertainty in the performance of the related CLO's
underlying portfolio, which in turn depends on economic and credit
conditions that may change. In particular, the length and severity
of the economic and credit shock precipitated by the global
coronavirus pandemic will have a significant impact on the
performance of the securities. The CLO manager's investment
decisions and management of the transaction will also affect the
performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CHASE AUTO 2020-1: Fitch Assigns Bsf Rating on Class F Notes
------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to the notes
issued by JPMorgan Chase Bank, National Association, Chase Auto
Credit Linked Notes, Series 2020-1 (Chase Auto 2020-CL1).

RATING ACTIONS

Chase Auto Credit Linked Notes, Series 2020-1

Class A; LT NRsf New Rating; previously at NR(EXP)sf

Class B; LT AAsf New Rating; previously at AA(EXP)sf

Class C; LT Asf New Rating; previously at A(EXP)sf

Class D; LT BBBsf New Rating; previously at BBB(EXP)sf

Class E; LT BBsf New Rating; previously at BB(EXP)sf

Class F; LT Bsf New Rating; previously at B(EXP)sf

Class R; LT NRsf New Rating; previously at NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned ratings to the class B through F notes for
JPMorgan Chase Bank, N.A.'s (JPMCB) first auto credit-linked note
transaction, Chase Auto Credit Linked Notes, Series 2020-1 (Chase
Auto 2020-CL1). The class A certificates will be retained by the
issuer and are not rated (NR) by Fitch. The notes will be unsecured
general obligations of JPMCB (rated AA/F1+/Negative by Fitch) and
directly linked to the bank's Issuer Default Rating (IDR). The
transaction will be serviced by JPMCB, through their Chase Auto
unit.

Upon closing, there will be no transfer or sale of assets; instead,
the referenced collateral, originated and serviced by Chase Auto,
will remain on the balance sheet of the bank as unencumbered
assets. Funds received from the issuance of the notes will be
available to JPMCB as generally available funds. As of the cutoff
date, the reference prime retail auto loan portfolio consisting of
82,824 reference obligations with a reference portfolio notional
amount of $1,809,729,816.

The transaction will transfer credit risk to noteholders via a
hypothetical tranched credit default swap, which will reference the
pool of fixed-rate auto loans. Principal payments on the notes will
be based on the actual payments received on the pool, and interest
will be paid monthly based on the fixed coupon of each class of
notes. Both principal and interest payments are unsecured
obligations of JPMCB.

Given the structure and dependence on JPMCB, Fitch's ratings on the
notes are capped at the lower of 1) the quality of the auto loan
reference pool and credit enhancement (CE) available through
subordination and 2) JPMCB's Fitch IDR.

KEY RATING DRIVERS

Collateral - Strong Prime Credit Quality: The Chase Auto 2020-CL1
statistical referenced pool has a weighted average (WA) FICO score
of 769 and scores above 750 total 61.1%. The WA loan to value (LTV)
is low at 95.4%, WA APR is 4.86%, WA seasoning is 19.75 months, and
the pool has strong vehicle brand, model and geographic
diversification. Original terms greater than 60 months total 91.1%,
73-to 84-month loans total 35.6%, and used vehicles total 40.6%,
which is consistent with JPMCB historical originations.

Forward-Looking Approach to Derive Base Case Loss Proxy - Stable
Portfolio/Securitization Performance: JPMCB's managed portfolio
performance has been strong since 2013 through mid-2020, with low
losses and delinquencies. Normalizing trends have been observed
recently, including slowly rising losses, consistent with the
broader auto market. Fitch considered current market conditions
amid the coronavirus pandemic and included recessionary and peer
prime auto loan static portfolio proxy performance, along with
prior JPMCB and peer proxy ABS performance, to derive a cumulative
net loss (CNL) proxy of 1.10%.

Coronavirus Causing Economic Shock: Fitch has assumptions on the
spread of coronavirus and economic impact of related containment
measures. As a base case scenario, Fitch assumes a global recession
starting in 1H20 with sharp economic contractions in major
economies with unemployment having now spiked high, followed by a
recovery that begins in 3Q20 as the health crisis subsides. Under
this scenario, Fitch's initial base case CNL proxy was derived
utilizing 2006-2008 recessionary static managed portfolio and prior
ABS performance.

As a downside (sensitivity) scenario, Fitch considers a more severe
and prolonged period of stress with an inability to begin
meaningful recovery until beyond 2021. Under the downside case,
Fitch also doubled the initial CNL proxy (see the Expected Rating
Sensitivity section). Under this scenario, the notes could be
downgraded by up to two categories.

Payment Structure - Only Note Subordination for CE: Initial hard CE
totals 4.68%, 3.58%, 2.48%, 1.92% and 1.54% for classes B, C, D, E
and F, respectively, entirely consisting of subordinated note
balances. There is no additional enhancement provided, including no
excess spread. Initial CE is sufficient to withstand Fitch's base
case CNL proxy of 1.10% at the applicable rating loss multiples.

Seller/Servicer Operational Review - Stable
Origination/Underwriting/Servicing: JPMCB (including Chase Auto)
demonstrate adequate abilities as originator, underwriter and
servicer, as evidenced by historical portfolio delinquency, loss
experience and prior securitization performance. Fitch deems JPMCB
(and thus Chase Auto) capable to service this series.

Pro Rata Pay Structure (Negative): Auto loan cash flows are
allocated among the class B through E notes based on a pro rata pay
structure, with the retained class A certificates (retained by
JPMCB) receiving a pro rata allocation payment and the subordinate
class F and R notes to remain unpaid until all other classes are
paid in full.

In addition, lower-rated subordinated classes will be locked out of
principal entirely if the transaction CNL exceeds a set CNL
schedule. The lockout feature helps maintain subordination for a
longer period should CNL occur earlier in the life of the deal.
This feature redirects subordinate principal to classes of higher
seniority sequentially, except class A certificates. Further, if
the pool CNL exceeds 2.50%, the transaction switches from pro rata
and pays fully sequentially, including for the class A
certificates.

CE Floor (Positive): To mitigate tail risk, which arises as the
pool seasons and fewer loans are outstanding, class F and R notes
are locked out of payments until other classes of notes are paid in
full, leading to a floor amount of subordination of 1.92% below the
class E notes at issuance.

Excessive Counterparty Exposure: The excessive exposure in the
transaction arises due to JPMCB's role providing a material degree
of credit support to the transaction. Noteholders will not have
recourse to the reference portfolio or to the cash generated by the
assets. Instead, the transaction relies on JPMCB to make interest
payments based on the note rate, and principal payments based on
the performance of the reference pool. The monthly payment due will
be deposited by JPMCB into a segregated trust account held at U.S.
Bank N.A. (AA-/F1+; the securities administrator) for the benefit
of the notes. If JPMCB fails to make a payment to noteholders, it
is deemed an event of default. Given this dependence on the bank,
ratings on the notes are directly linked to, and capped by, the IDR
of the counterparty, JPMCB (AA/F1+/Negative). Further, JPMCB is the
servicer and will retain the class A certificates.

Highlights

Coronavirus Impact: Fitch acknowledges the uncertainty and fast
changes related to the coronavirus pandemic and its impact on
global markets, including the U.S. economy, such as higher
unemployment with a huge jump in jobless claims. Fitch has
evaluated JPMCB's business continuity plan and considers it
adequate to minimize disruptions in the collection process.
Assuming only a temporary disruption, portfolio delinquencies and
losses could pick up as a result of reduced income or temporary job
losses. The risk of negative rating actions will increase in a more
sustained or severe scenario.

Increased Risk in Pro Rata Structure: This synthetic credit-linked
note structure's payments are determined based on the performance
of the pool of auto loans, and therefore, shared similarities with
auto loan ABS transactions. However, ABS transactions are generally
all fully sequential, with senior notes receiving principal payment
in full prior to payment on the subordinate notes. In this
transaction, subordinate notes class B through E receive principal
payments pro rata, prior to a sequential pay event that may or may
not be triggered based on CNL performance.

As detailed further in the cash flow modeling and rating
sensitivities sections, this pro rata structure poses significant
risk to the note payments. While Fitch's ratings are based on a
loss timing expectation that defaults will occur earlier in the
transaction life, a delay of overall losses and sustained pro rata
payments will reduce the loss coverage multiples provided by the
structure.

JPMCB as Servicer/Calculation Agent: JPMCB will be the servicer
performing servicing in line with the procedures that it
customarily employs in servicing receivables for its own
account/portfolio. JPMCB is also the calculation agent, and those
calculations provided will not be verified by a third party.

COVID-19 Related Extensions: The transaction does not contemplate
advancing on the reference obligations, but loan extensions may be
granted. While coronavirus related extensions were excluded from
the final reference pool, they will not be excluded beyond the
cut-off date and may be granted a maximum extension of six months.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Changes in expected loss timing for the transaction may affect the
transaction structure over time, leading to impairments in the
payment of the outstanding notes. In the event that losses suddenly
increase near the end of the transaction, which has primarily paid
down pro rata with no increase in CE at that time, significant
losses may be incurred to the outstanding notes, which will not
have entered sequential payment, per the performance triggers
outlined herein.

In addition, unanticipated increases in the frequency of defaults
could produce CNL levels higher than the base case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Weakening asset performance is strongly
correlated to increasing levels of delinquencies and defaults that
could negatively affect CE levels. Additionally, unanticipated
declines in recoveries could also result in lower net loss
coverage, which may make certain note ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.

For this transaction, Fitch conducted sensitivity analyses by
stressing the transaction's assumed loss timing, the transaction's
initial base case CNL and recovery rate assumptions, examining the
rating implications on all rated classes of issued notes. The loss
timing sensitivity modifies the base case loss timing curve to
delay the sequential payment triggers to the middle of the
transaction's life while maintaining overall loss levels.

The CNL sensitivity stresses the CNL proxy to the level necessary
to reduce each rating by one full category, to non-investment grade
(BBsf) and to 'CCCsf', based on the break-even loss coverage
provided by the CE structure.

Additionally, Fitch conducts a 1.5x and 2.0x increase to the CNL
proxy, representing both moderate and severe stresses,
respectively. Fitch also evaluates the impact of stressed recovery
rates on an auto loan ABS structure and rating impact with a 50%
haircut. These analyses are intended to provide an indication of
the rating sensitivity of notes to unexpected deterioration of a
trust's performance. A more prolonged disruption from the pandemic
is accounted for in the severe downside stress of 2.0x and could
result in downgrades of up to two rating categories for the
subordinate notes.

Due to the pandemic, the U.S. and the broader global economy
remains under stress, with surging unemployment and pressure on
businesses stemming from federal social distancing guidelines.
Unemployment pressure on the consumer base may result in increased
delinquencies. For sensitivity purposes, Fitch assumed a 2.0x
increase in delinquency stress. The results below indicate no
adverse rating impact to the notes. Fitch acknowledges that lower
prepayments and longer recovery lag times due to delayed ability to
repossess and recover on vehicles may result from the pandemic.
However, changes in these assumptions, all else equal, would not
have an adverse impact on modeled loss coverage, and Fitch has
maintained its stressed assumptions.

Loss Timing Sensitivity

As mentioned, prior to the triggering of a sequential payment event
through the CNL schedule, the class B through E notes are paid pro
rata until paid in full. This pro rata paydown presents a risk to
the notes, which may share in any losses incurred and not receive
adequate principal paydown over time. In Fitch's mid-loaded primary
scenario, this trigger activates almost immediately, leading to
higher loss coverage. While Fitch believes a more back-loaded
scenario is less likely, to evaluate the potential structural
challenge, an additional timing scenario was considered in which
20% of the CNL expected to occur in the first two years of the
transaction's life were delayed to the second two years, in a
25%/35%/30%/10% loss curve.

The delayed loss curve leads to the sequential order event
occurring later in the life of the transaction in the class C and D
stress scenarios, causing a significant drop in break-even loss
coverage for these rated classes of notes. In this delayed
scenario, class B still sees sequential payment occurring almost
immediately, although this class would also face a significant
decrease in coverage. Class E and F notes are supported regardless
of timing scenario due to their relative size and the locked-out
nature of the class F and R notes, which do not receive payments
until all other notes are paid in full, regardless of any events
being triggered. In the scenario, class C and D notes would each
potentially drop two notches in their ratings.

The second sensitivity also focuses on stressing the impact of CNLs
outside of base case expectations by a 1.5x and 2.0x multiple
relative to available loss coverage. This analysis provides a good
indication of the rating sensitivity of notes to unexpected
deterioration of a trust's performance. In this example, under the
1.5x scenario, the base case proxy increases to 1.65% and an
implied loss multiple of 2.83x, which would suggest a downgrade to
the 'Asf' range. Under the more severe 2.0x stress, the base case
proxy increases to 2.20%, which results in an implied multiple of
2.12x or downgrade to the 'BBBsf' range.

Due to de-levering and structural features, a typical auto loan ABS
transaction tends to build CE and loss coverage levels over time,
absent any increase to projected defaults/losses beyond
expectations. However, the current transaction, which is based on a
reference pool and is not a standard auto loan ABS transaction,
sees only limited increases in enhancement over the life of the
deal as classes B through E pay down pro rata. The greatest risk of
losses to an auto loan ABS transaction is over the first one to two
years of the transaction, where the benefit of de-levering may be
muted. This analysis does not give explicit credit to the
de-levering and building CE afforded in auto loan ABS
transactions.

Recovery Rate Sensitivity

Recoveries can have a material impact on auto loan pool
performance, particularly in stressed economic environments where
default frequency is higher. This sensitivity analysis evaluates
the impact of stressed recovery rates on the considered structure
and rating impact.

Historically, recovery rates on auto loan collateral have ranged
from 40%70%. Utilizing the base case of 1.10% detailed in the CNL
sensitivities, recovery rate credit under Fitch's primary scenario
is 50%, resulting in a CGD base case proxy of 2.20%. Applying a 50%
haircut to the 50% recovery rate results in a stressed recovery
rate of 25% and a base case CNL proxy of 1.65% (2.20% x 75% =
1.65%). Under this stressed scenario, the implied multiple declines
to 2.83x (4.67%/1.65% = 2.83x), resulting in an implied rating of
'Asf'.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Conversely, stable to improved asset performance driven by stable
delinquencies and defaults would lead to marginally increasing CE
levels and consideration for potential upgrades. If CNL is 20% less
than the projected proxy, the expected ratings for the subordinate
notes could be maintained for class B (which are capped at the
originator's ratings) and upgraded by one category for class C, D,
E and F notes. However, this upgrade potential is very remote, as
low losses will mean the transaction remains pro rata for longer,
leading to less enhancement build over time.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


CIFC FUNDING 2014-V: Moody's Cuts Rating on Class F-R2 Notes to Caa
-------------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by CIFC Funding 2014-V, Ltd.:

US$11,000,000 Class F-R2 Junior Secured Deferrable Floating Rate
Notes due 2031 (the "Class F-R2 Notes"), Downgraded to Caa1 (sf);
previously on June 3, 2020, B3 (sf) Placed Under Review for
Possible Downgrade

The Class F-R2 Notes are referred to herein as the "Downgraded
Notes."

Moody's also confirmed the rating on the following notes:

US$22,250,000 Class E-R2 Junior Secured Deferrable Floating Rate
Notes Due 2031 (the "Class E-R2 Notes"), Confirmed at Ba3 (sf);
previously on June 3, 2020, Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class E-R2 Notes are referred to herein as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class E-R2 Notes and Class F-R2 Notes issued by the
CLO. The CLO, originally issued in December 2014, partially
refinanced in October 2016 and refinanced in September 2018 is a
managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end on October 2023.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the rating on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3272, compared to 2953
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 3044 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
19.43%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $543.75
million, or $6.25 million less than the deal's ramp-up target par
balance. Nevertheless, Moody's noted that all the OC tests as well
as the interest diversion test were recently reported [4] as
passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $542,886,397

Defaulted Securities: $4,357,625

Diversity Score: 80

Weighted Average Rating Factor (WARF): 3307

Weighted Average Life (WAL): 5.76 years

Weighted Average Spread (WAS): 3.39%

Weighted Average Recovery Rate (WARR): 47.59%

Par haircut in OC tests and interest diversion test: 1.08%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around our forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under our
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CIM TRUST 2020-INV1: Moody's Gives (P)B3 Rating on Class B-5 Debt
-----------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 34
classes of residential mortgage-backed securities (RMBS) issued by
CIM Trust (CIM) 2020-INV1. The ratings range from (P)Aaa (sf) to
(P)B3 (sf).

CIM Trust 2020-INV1 (CIM 2020-INV1) the second rated transaction
sponsored by Chimera Investment Corporation (Chimera or the
sponsor) in 2020, is a prime RMBS securitization of fixed-rate
agency-eligible mortgages secured by first liens on
non-owner-occupied residential investor properties with original
term to maturity of up to 30 years. This transaction represents the
first investor prime issuance by the sponsor in 2020. The mortgage
loans were acquired by the affiliate of the sponsor, Fifth Avenue
Trust (seller) from Bank of America National Association (BANA).
BANA acquired the mortgage loans through its whole loan purchase
program from various originators.

As of the cut-off date of September 1, 2020, the pool contains
1,009 mortgage loans with an aggregate principal balance of
$335,064,756 secured by one- to four family residential properties,
planned unit developments and condominiums. The average stated
principal balance is $332,076 and the weighted average (WA) current
mortgage rate is 4.3%. The mortgage pool has a WA original term of
approximately 30 years (359 months). The mortgage pool has a WA
seasoning of 7.7 months. The borrowers have a WA credit score of
770, WA combined loan-to-value ratio (CLTV) of 64.3% and WA
debt-to-income ratio (DTI) of 35.5%. Approximately 13.1% of the
pool balance is related to borrowers with more than one mortgage
loan in the pool (a total of 121 loans among 55 unique borrowers).

There are 70 loans (6.4% by stated principal balance) which had at
least 1-month delinquency in the past 12 months, of which 22 are
coronavirus (or COVID-19) related (1.8% by stated principal
balance), and approximately 42 loans (4.2% by stated principal
balance) experienced a delinquency due to servicing transfers. As
of the cut-off date, no borrower under any mortgage loan is
currently in an active COVID-19 related forbearance plan with the
servicer. All loans in the pool are current as of the cut-off
date.

There are 7 originators in the transaction, the largest of which
are United Shore Financial Services, LLC (45.0%), loanDepot.com,
LLC (43.1%), and Provident Funding Associates, L.P. (5.7%). Each
mortgage loan was represented by the related originator to be
secured by an investment property (which includes for such purpose
both business purpose loans and personal use loans). None of the
"business-purpose" mortgage loans included in this transaction are
qualified residential mortgages under U.S. risk retention rules.
All of the personal use loans are "qualified mortgages" under
Regulation Z as result of the temporary provision allowing
qualified mortgage status for loans eligible for purchase,
guaranty, or insurance by Fannie Mae and Freddie Mac (and certain
other federal agencies). As of the closing date, the sponsor or a
majority-owned affiliate of the sponsor will retain an eligible
horizontal residual interest with a fair value of at least 5% of
the aggregate fair value of the certificates issued by the trust,
which is expected to satisfy U.S. risk retention rules.

Shellpoint Mortgage Servicing (Shellpoint), a division of NewRez
LLC, f/k/a New Penn Financial, LLC, will service all the mortgage
loans in the transaction. Wells Fargo Bank, N.A. (Wells Fargo) will
be the master servicer. Three third-party review (TPR) firms
verified the accuracy of the loan level information that Moody's
received from the sponsor. These firms conducted detailed credit,
property valuation, data accuracy and compliance reviews on 100% of
the mortgage loans in the collateral pool. The TPR results indicate
that there are no material compliance, credit, or data issues and
no appraisal defects.

Moody's analyzed the underlying mortgage loans using Moody's
Individual Loan Analysis (MILAN) model. In addition, Moody's
adjusted its expected losses based on qualitative attributes,
including the financial strength of the representation and
warranties (R&W) provider and TPR results.

CIM 2020-INV1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool. In
its analysis of tail risk, Moody's considersed the increased risk
from borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2020-INV1

Cl. A-1, Assigned (P)Aaa (sf)

Cl. A-2, Assigned (P)Aaa (sf)

Cl. A-3, Assigned (P)Aaa (sf)

Cl. A-4, Assigned (P)Aaa (sf)

Cl. A-5, Assigned (P)Aaa (sf)

Cl. A-6, Assigned (P)Aaa (sf)

Cl. A-7, Assigned (P)Aaa (sf)

Cl. A-8, Assigned (P)Aaa (sf)

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. A-11, Assigned (P)Aaa (sf)

Cl. A-12, Assigned (P)Aaa (sf)

Cl. A-13, Assigned (P)Aa1 (sf)

Cl. A-14, Assigned (P)Aa1 (sf)

Cl. A-15, Assigned (P)Aaa (sf)

Cl. A-16, Assigned (P)Aaa (sf)

Cl. A-IO1*, Assigned (P)Aaa (sf)

Cl. A-IO2*, Assigned (P)Aaa (sf)

Cl. A-IO3*, Assigned (P)Aaa (sf)

Cl. A-IO4*, Assigned (P)Aaa (sf)

Cl. A-IO5*, Assigned (P)Aaa (sf)

Cl. A-IO6*, Assigned (P)Aaa (sf)

Cl. A-IO7*, Assigned (P)Aaa (sf)

Cl. A-IO8*, Assigned (P)Aa1 (sf)

Cl. A-IO9*, Assigned (P)Aaa (sf)

Cl. B-1, Assigned (P)Aa3 (sf)

Cl. B-IO1*, Assigned (P)Aa3 (sf)

Cl. B-1A, Assigned (P)Aa3 (sf)

Cl. B-2, Assigned (P)A3 (sf)

Cl. B-IO2*, Assigned (P)A3 (sf)

Cl. B-2A, Assigned (P)A3 (sf)

Cl. B-3, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

Cl. B-5, Assigned (P)B3 (sf)

*Reflects Interest Only Classes

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected loss for this pool in a baseline scenario-mean is
1.04%, in a baseline scenario-median is 0.68%, and reaches 9.43% at
a stress level consistent with its Aaa ratings.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
residential mortgage loans from the current weak US economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous and its continuation
will be closely tied to containment of the virus. As a result, the
degree of uncertainty around its forecasts is unusually high.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15.00%
(11.39% for the mean) and its Aaa losses by 5.00% to reflect the
likely performance deterioration resulting from of a slowdown in US
economic activity in 2020 due to the coronavirus outbreak.

Moody's regards the COVID-19 outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral Description

Moody's assessesed the collateral pool as of the cut-off date of
September 1, 2020. As of the cut-off date, the $335,064,756 pool
consisted of 1,009 fixed rate agency-eligible mortgage loans
secured by first liens on non-owner-occupied residential investor
properties with original terms to maturity up to 30 years (99.5% of
pool balance between 25-30 years). All of the loans were originated
in accordance with Freddie Mac and Fannie Mae guidelines, which
take into consideration, among other factors, the income, assets,
employment and credit score of the borrower. All the loans were run
through one of the governments sponsored enterprises' (GSE)
automated underwriting systems (AUS) and received an "Approve" or
"Accept" recommendation.

Pool strengths include the high credit quality of the underlying
borrowers. The borrowers in this transaction have high FICO scores
and sizeable equity in their properties. The WA original primary
borrower credit score is 770 and the CLTV is 64.3%. Only one loan
in the pool has an LTV ratio greater than 80%. High LTV loans
generally have a higher probability of default and higher loss
severity compared to lower LTV loans. Additionally, the borrowers
have a high WA total monthly income of $17,921 and significant WA
liquid cash reserves of $192,626 (approximately 75.6% of the pool
has more than the amount of 12 months of mortgage payments in
reserve).

Approximately 73.9% (by loan balance) of the properties backing the
mortgage loans are located in five states: California, New York,
Washington, Colorado and Arizona, with 54.6% (by loan balance) of
the properties located in California. Properties located in the
states of New Jersey, Texas, Virginia, Oregon and Florida, round
out the top ten states by loan balance. Approximately 87.5% (by
loan balance) of the properties backing the mortgage loans included
in CIM 2020-INV1 are located in these ten states. The top five MSAs
by loan balance are Los Angeles (22.1%), New York (9.0%), San
Francisco (8.3%), San Diego (5.5%) and San Jose (4.0%). Moody's
made adjustments in its analysis to account for this geographic
concentration risk.

Overall, the credit quality of the mortgage loans backing this
transaction is in line with other transactions issued by other
prime issuers.

There are 70 loans which had at least 1-month delinquency in the
past 12 months, of which 22 are COVID-19 related (1.8% by stated
principal balance), and approximately 42 loans (4.2% by stated
principal balance) experienced a delinquency due to servicing
transfers. However, all loans in the pool are current as of the
cut-off date. Furthermore, as of the cut-off date, no borrower
under any mortgage loan is currently in an active COVID-19 related
forbearance plan with the servicer. Certain borrowers under
mortgage loans in the mortgage pool (44 loans or 4.5% by stated
principal balance) previously have entered into a COVID-19 related
forbearance plan loans with the servicer and such borrowers have
since been reinstated (of which 1.8%, by stated principal balance,
experienced a delinquency in the past 12 months). In the event that
after the cut-off date a borrower enters into or requests a
COVID-19 related forbearance plan, such mortgage loan will remain
in the mortgage pool and the servicer will be required to make
advances in respect of delinquent interest and principal (as well
as servicing advances) on such mortgage loan during the forbearance
period (to the extent such advances are deemed recoverable).
Furthermore, any mortgage loan that becomes subject to a
forbearance plan will be reported by the servicer as delinquent
with respect to each scheduled monthly payment that is subject to
the forbearance plan and not made by the related mortgagor during
the related forbearance period.

Origination

The seller acquired the mortgage loans from BANA. BANA acquired the
loans in the pool from 7 different originators. The largest
originators in the pool with more than 10% by balance are United
Shore Financial Services, LLC (44.7%) and LoanDepot.com, LLC (43%).
The mortgage loans acquired by the seller pursuant to the CIM
2020-INV1 acquisition criteria. Generally, each mortgage loan must
(i) be underwritten to conform to the GSE's underwriting standards
and have valid findings and an "Approve" or "Accept" response from
the requirements of the DU/LP Programs, (ii) have a representative
FICO score of greater than or equal to 680, (iii) have a maximum
DTI of 45% and (iv) have a LTV ratio of less than or equal to 80%.

United Shore Financial Services, LLC (United Shore): United Shore
was founded in 1986 and is headquartered in Pontiac, Michigan.
United Wholesale Mortgage, the company's primary business unit,
conducts wholesale mortgage lending. United Shore is licensed to
originate loans in all 50 states. United Shore funds loans brokered
by its broker clients and buys loans originated by its
correspondent clients. Its clients include mortgage banks, smaller
lenders, credit unions and mortgage brokers and its loan product
offerings include FHA, VA and USDA loans, Fannie Mae and Freddie
Mac eligible loans, and certain non-conforming loan products.
United Shore underwrites all of the loans of its broker and
correspondent clients and such underwriting is performed according
to, as applicable, agency, investor, private mortgage insurer and
United Shore guidelines, United Shore overlays and United Shore
product descriptions.

loanDepot.com, LLC (loanDepot): Headquartered in Foothill Ranch,
CA, loanDepot is a national retail focused franchise, non-bank
lender which originates both agency and non-agency loans. Founded
in 2009 and launched in 2010 by Chairman and CEO Anthony Hsieh,
loanDepot has funded approximately $180 billion residential
mortgage loans as of FY 2019. After its initial launch, loanDepot's
growth strategy included acquiring independent retail platforms
across the country and using mobile, licensed lending officers to
build a nationwide retail presence. loanDepot is primarily engaged
in the origination of residential mortgages and home equity loans.
loanDepot has management team of experienced operators and lenders,
licensed mortgage lender in all 50 states, 6,600 employee, 2,300+
licensed loan officers, 5 national fulfillment centers, 225 local
branch offices across the U.S., and generates 900,000+ new leads
each month. The company had $180 billion of loan originations in
FY19 and is currently originating around ~$7 billion/month. The
company had a compounded growth in originations of 40% annually
from FY 2010-Q1 2020. In addition to its core lending activities
and established capital markets relationships, loanDepot has also
invested in several strategic joint ventures whose services
complement its core mortgage lending business such as escrow,
settlement, title, closing, new home construction and investment
management. Partners range from private to public, national and
regional, financial services to homebuilders.

With one exception, Moody's did not make an adjustment for
GSE-eligible loans, regardless of the originator, since those loans
were underwritten in accordance with agency guidelines. Moody's
increased its loss assumption for the loans originated by Home
Point Financial Corporation (4.4% by stated principal balance) due
to limited historical performance data, reduced retail footprints
which limits the seller's oversight on originations, and lack of
strong controls to support recent rapid growth.

Servicing Arrangement

Moody's considers the overall servicing arrangement for this pool
to be adequate, and as a result Moody's did not make any
adjustments to its base case and Aaa stress loss assumptions based
on the servicing arrangement.

Shellpoint will service all the mortgage loans in the transaction.
Shellpoint is generally obligated to fund monthly advances of cash
(to the extent such advances are deemed recoverable) and to make
interest payments to compensate in part for any shortfall in
interest payments due to prepayment of the mortgage loans.
Shellpoint services a variety of residential mortgage products
including conforming first lien mortgages, super-jumbo mortgages,
non-conforming first and second lien mortgages and both open and
closed home equity lines of credit (HELOCS). Shellpoint is an
approved servicer in good standing with Ginnie Mae, Fannie Mae and
Freddie Mac. As of August 31, 2020, the company's servicing
portfolio totaled approximately 1,526,989 loans with an unpaid
principal balance of approximately $268 billion. Shellpoint's
senior management team has an average of more than 15 years'
industry experience, providing a solid base of knowledge and
leadership to the company's servicing division.

Wells Fargo, the master servicer, will monitor the performance of
the servicer and will be obligated to fund any required advance and
interest shortfall payments if a servicer fails in its obligation
to do so. Moody's considers the presence of a strong master
servicer to be a mitigant for any servicing disruptions. Its
evaluation of Wells Fargo as a master servicer takes into account
the bank's strong reporting and remittance procedures, servicer
compliance and monitoring capabilities and servicing stability.
Wells Fargo's oversight encompasses loan administration, default
administration, compliance and cash management.

Also, at its option, the controlling holder may engage, at its own
expense, an asset manager to review the actions of any party
servicing the mortgage loans with respect to their actions
(including making determinations regarding whether a servicer is
making modifications or servicing the mortgage loans in accordance
with the terms of the respective agreement.

Moody's did not make any adjustments to its base case and Aaa
stress loss assumptions based on the servicing arrangement. Moody's
considers the presence of a strong master servicer and the ability
of the controlling holder to appoint an asset manager to review the
actions of any party servicing the mortgage loans to be a mitigant
against the risk of any servicing disruptions.

Servicing Fee

Shellpoint will be paid a monthly fee calculated as the product of
(i) 0.0700% per annum, multiplied by (ii) the stated principal
balance of the loans it services as of the first day of the related
period divided by (iii) twelve. The per annum servicing fee rate
for Shellpoint for any distribution date will not exceed an amount
equal to 0.0900% of the aggregate stated principal balance of the
mortgage loans as of the first day of the related period.

Wells Fargo will be paid amount equal to the greater of (i) the
product of one-twelfth of the master servicing fee rate (0.0265%
per annum) and the stated principal balance of each mortgage loan
as of the first day of the related due period and (ii) $2,500.

Third Party Review

Three TPR firms verified the accuracy of the loan level
information. These firms conducted detailed credit, property
valuation, data accuracy and compliance reviews on 100% of the
mortgage loans in the collateral pool. The TPR results indicate
that the majority of reviewed loans were in compliance with
respective originators' underwriting guidelines, no material
compliance or data issues, and no appraisal defects. The majority
of the data integrity errors were due to minor discrepancies which
were corrected in the final collateral tape and thus Moody's did
not make any adjustments to its credit enhancement.

The overall property valuation review for this transaction is
weaker than other prime transactions Moody's has rated, which
typically had third-party valuation products, such as desktop
appraisals or field reviews, ordered for the vast majority of the
collateral pool. In this transaction, for most of the mortgage
loans, the original appraisal was evaluated using only an Automatic
Valuation Model (AVM). Moody's applied an adjustment to the loss
for such loans, since Moody's considers AVMs to be less accurate
than desk reviews and field reviews due to inherent data
limitations that could adversely impact the reliability of AVM
results.

For 29 loans (2.4% by stated principal balance), the file was
missing an appraisal because such loan was approved via a property
inspection/appraisal waiver program. An appraisal waiver loan is a
loan for which a traditional appraisal has been waived. Since the
product was only introduced relatively recently, in a positive
macro-economic environment, sufficient time has not passed to
determine whether the loan level valuation risk related to a
GSE-eligible loan with an appraisal waiver is the same as a
GSE-eligible loan with a traditional appraisal due to lack of
significant data. Thus, to account for the risk associated with
this product, Moody's increased its base case and Aaa loss
expectations for all such loans.

Representation & Warranties

Overall, Moody's assessesed R&W framework for this transaction as
adequate, consistent with that of other prime transactions for
which the breach review process is thorough, transparent and
objective, and the costs and manner of review are clearly outlined
at issuance. Moody's assessesed the R&W framework based on three
factors: (a) the financial strength of the remedy provider; (b) the
strength of the R&Ws (including qualifiers and sunsets) and (c) the
effectiveness of the enforcement mechanisms.

Each originator will provide comprehensive loan level R&Ws for
their respective loans. Overall, the loan-level R&Ws are strong
and, in general, either meet or exceed the baseline set of
credit-neutral R&Ws Moody's identified for US RMBS. BANA will
assign each originator's R&W to the seller, who will in turn assign
to the depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, the seller (an affiliate of the
sponsor) will backstop the R&Ws for all originator's loans. The R&W
provider's obligation to backstop third party R&Ws will terminate 5
years after the closing date, subject to certain performance
conditions. The R&W provider will also provide the gap R&Ws.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. Furthermore, the transaction has reasonably
well-defined processes in place to identify loans with defects on
an ongoing basis. In this transaction, an independent reviewer,
when appointed, must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached (review event). A review event will be in effect for a
mortgage loan if (i) such mortgage loan has become 120 days or more
delinquent, (ii) such mortgage loan is liquidated and such
liquidation results in a realized loss, or (iii) the related
servicer determines that a monthly advance for a mortgage loan is
nonrecoverable. Of note, in a continued effort to focus breach
reviews on loans that are more likely to contain origination
defects that led to or contributed to the delinquency of the loan,
an additional carve out has been in recent transactions Moody's has
rated from other issuers relating to the delinquency review
trigger. Similarly, in this transaction, exceptions exist for
certain excluded disaster mortgage loans that trip the review
event. These excluded disaster loans include COVID-19 forbearance
loans.

Transaction Structure

The transaction has a shifting interest structure in which the
senior bonds benefit from a number of protections. Funds collected,
including principal, are first used to make interest payments to
the senior bonds. Next, principal payments are made to the senior
bonds. Next, available distribution amounts are used to reimburse
realized losses and certificate write-down amounts for the senior
bonds (after subordinate bond have been reduced to zero i.e. the
credit support depletion date). Finally, interest and then
principal payments are paid to the subordinate bonds in sequential
order. Realized losses are allocated in a reverse sequential order,
first to the lowest subordinate bond. After the balance of the
subordinate bonds is written off, losses from the pool begin to
write off the principal balance of the senior support bond, and
finally losses are allocated to the super senior bonds.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.40% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 0.70% of the closing pool
balance.

Other Considerations

In CIM 2020-INV1, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no controlling holder (no single entity
holds a majority of the class principal amount of the most
subordinate class of certificates outstanding), the trustee shall,
upon receipt of a direction of the certificate holders of more than
25% of the aggregate voting interest of all certificates and upon
receipt of the deposit, appoint an independent reviewer at the cost
of the trust. However, if the controlling holder does not hire the
independent reviewer, the holders of more than 50% of the aggregate
voting interests of all outstanding certificates may direct (at
their expense) the trustee to appoint an independent reviewer. In
this transaction, the controlling holder can be the depositor or a
seller (or an affiliate of these parties). If the controlling
holder is affiliated with the depositor, seller or sponsor, then
the controlling holder may not be motivated to discover and enforce
R&W breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals is borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price. If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter.

Moody's considers this credit neutral because a) the appraiser is
chosen by the servicer from the approved list of appraisers, b) the
fair value of the property is decided by the servicer, based on
third party appraisals, and c) the controlling holder will pay the
fair price and accrued interest.

Servicing Arrangement / COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has
entered into a Covid-19 related forbearance plan with the servicer.
In the event that after the cut-off date a borrower enters into or
requests an active COVID-19 related forbearance plan, such mortgage
loan will remain in the mortgage pool and the servicer will be
required to make advances in respect of delinquent interest and
principal (as well as servicing advances) on such mortgage loan
during the forbearance period (to the extent such advances are
deemed recoverable) and the mortgage loan will be considered
delinquent for all purposes under the transaction documents. At the
end of the forbearance period, as with any other modification, to
the extent the related borrower is not able to make a lump sum
payment of the forborne amount, the servicer may, subject to the
servicing matrix, offer the borrower a repayment plan, enter into a
modification with the borrower (including a modification to defer
the forborne amounts) or utilize any other loss mitigation option
permitted under the pooling and servicing agreement.

As with any other modification, it is anticipated that the servicer
will reimburse itself at the end of the forbearance period for any
advances made by it with respect to such mortgage loan, whether
that be from any lump sum payments made by the related borrower,
from any increased payments received with respect to any repayment
plan entered into by the borrower, or, if modified and capitalized
in connection therewith, at the time of such modification as a
reimbursement of such capitalized advances from principal
collections on all of the mortgage loans. The servicer also has the
right to reimburse itself for any advance from all collections on
the mortgage loans when such advance is deemed to be
non-recoverable. With respect to a mortgage loan that was the
subject of a servicing modification, the amount of principal of the
mortgage loan, if any, that has been deferred and that does not
accrue interest will be treated as a realized loss and to the
extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

Factors that would lead to an upgrade or downgrade of the ratings:

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.

Methodology

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in April 2020.


CITIGROUP COMMERCIAL 2016-P5: Fitch Affirms BB- Rating on E Certs
-----------------------------------------------------------------
Fitch Ratings has affirmed 12 classes and revised the outlook on
one class of Citigroup Commercial Mortgage Trust 2016-P5 commercial
mortgage pass-through certificates.

RATING ACTIONS

CGCMT 2016-P5

Class A-1 17325DAA1; LT AAAsf Affirmed; previously AAAsf

Class A-2 17325DAB9; LT AAAsf Affirmed; previously AAAsf

Class A-3 17325DAC7; LT AAAsf Affirmed; previously AAAsf

Class A-4 17325DAD5; LT AAAsf Affirmed; previously AAAsf

Class A-AB 17325DAE3; LT AAAsf Affirmed; previously AAAsf

Class A-S 17325DAF0; LT AAAsf Affirmed; previously AAAsf

Class B 17325DAG8; LT AA-sf Affirmed; previously AA-sf

Class C 17325DAH6; LT A-sf Affirmed; previously A-sf

Class D 17325DAL7; LT BBB-sf Affirmed; previously BBB-sf

Class E 17325DAN3; LT BB-sf Affirmed; previously BB-sf

Class X-A 17325DAJ2; LT AAAsf Affirmed; previously AAAsf

Class X-B 17325DAK9; LT AA-sf Affirmed; previously AA-sf

Class X-D 17325DAU7; LT BBB-sf Affirmed; previously BBB-sf

KEY RATING DRIVERS

Increased Loss Expectations: While most of the pool performs in
line with issuance expectations, overall loss expectations have
increased due to the underperformance of a number of large Fitch
Loans of Concern (FLOCs), most of which have been impacted by the
slowdown in economic activity related to the coronavirus pandemic.
Additional stresses on these loans contributed to the Outlook
revision on class E to Negative from Stable.

As of the August 2020 distribution period, 15 loans (39.0%) on the
servicer's watchlist for requesting COVID-19 relief, low debt
service coverage ratio (DSCR), rent delinquency, deferred
maintenance and large tenant vacancy. The pool has six loans
(16.0%) that have been designated as FLOCs, including three
specially serviced loans (6.9%).

Minimal Change in Credit Enhancement: There has been minimal change
in credit enhancement (CE) since issuance due to minimal
amortization, no prepayments and minimal defeasance. As of the
August 2020 distribution period, the pool's aggregate principal
balance was reduced 3.0% to $889.7 million from $917.4 million at
issuance with 49 loans remaining. Of the remaining pool balance,
36.3% of the pool is classified as full interest-only (IO) through
the term of the loan, 5.4% of the pool is classified as partial IO
that have not commenced P&I payments and the remaining 58.3% of the
pool is amortizing. One Bethesda Center (5.7%), Swedesford Office
(2.2%) and David Whitney Building (2.5%) are scheduled to mature in
October, June and September 2021, respectively.

Exposure to Coronavirus: Of the non defeased collateral in the
pool, there are four loans (12.8% of pool), which have a weighted
average NOI DSCR of 2.99x, are secured by hotel properties. Fifteen
loans (18.2%), which have a weighted average NOI DSCR of 1.96x, are
secured by retail properties. Six loans (5.9%), which have a
weighted average NOI DSCR of 1.37x, are secured by multifamily
properties. Fitch's base case analysis applied additional stresses
to eight retail loans and one multifamily loan given the
significant declines in property-level cash flow expected in the
short term as a result of the decrease in travel and tourism and
property closures from the coronavirus pandemic. The additional
stresses contributed to the Outlook revision on class E to Negative
from Stable.

Fitch Loans of Concern:

Crocker Park Phase One & Two (4.5%) is a mixed use (retail/office)
property built in 2004 and located in Westlake, OH in the Cleveland
metro area. Major tenants include Dick's Sporting Goods, L.A.
Fitness, Cheesecake Factory, Barnes & Noble, and Regal Cinemas. As
of March 2020, the property was 90.4% occupied down from 95.7% at
YE 2018 and performing at a 1.58x NOI DSCR at YE 2019 compared to
1.71x at YE 2018. According the properties website, only two
restaurants remain closed and approximately 20 stores including
Regal cinemas remain closed due to coronavirus. The loan was
transferred to the special servicer in April 2020 due to the
coronavirus pandemic and the loan became 90 days delinquent July
2020. The special servicer is actively negotiating a workout with
the borrower.

332 South Michigan (3.6%) is collateralized by an office property
is located in the East Loop submarket of Chicago, IL. The property
is occupied by WeWork (15.3%), Compass Lexicon, LLC. (NRA 14.6%)
and American Academy of Art Inc. (NRA 14.6%). Subject occupancy has
fallen to 68% as of March 2020 compared to underwritten occupancy
of 83%. The decline in occupancy is due to a number of smaller
tenants vacating the property since issuance. In order to improve
occupancy, the borrower has been offering rent concessions.
American Academy of Art College, Inc. and CompassLexecon, LLC have
received rent concessions. The borrower has asked for relief from
amortization and the request is currently under review. Loan is
cash managed with a current balance of $460.7 thousand.

132 West 27th Street (3.4%) is collateralized by the lessor
position of a net lease on a New York hotel and is located in the
Manhattan district of Chelsea. Loan was put on the watchlist in May
2020 for requesting COVID relief. The most recent comments from the
servicer state that the borrower and lender are working towards
possible solutions.

Swedesford Office (2.2%) is secured by an office property located
in Wayne, PA. In June 2018, occupancy declined to 70.8% from 81.1%
after Laser Spine Institute (formerly 10.3% of NRA and second
largest tenant) rejected their lease and vacated their space. As of
the December 2019 rent roll, occupancy had rebounded to 79% due to
the backfilling of several smaller tenants. The subject's TTM June
2019 NOI DSCR was 1.06x compared to underwritten NOI DSCR at
issuance of 1.37x.

Norwood House (1.0%) is securitized by a 7,830-sf single tenant
property, categorized as retail located in the Chelsea district of
Manhattan. The property is operated as a private club and the loan
transferred to special servicing in June 2020 due to COVID-19
pandemic related underperformance. Per most recent servicer
comments, the lender and borrower are working toward a possible
solution. As of the August 2020 distribution period, the loan was
90+ days delinquent.

Hilton Garden Inn Layton (1.3%) is securitized by a 147 key limited
service hotel property located in Layton, UT. Loan transferred to
special servicing in April 2020 due to COVID-19 pandemic related
underperformance. Per most recent servicer comments, the lender and
borrower have come to general terms on relief request and counsel
has been engaged to review the agreement. As of the August 2020
distribution period, the loan was 60 days delinquent.

RATING SENSITIVITIES

The Stable Rating Outlooks on classes A-1 through D reflect the
overall stable performance of the majority of the pool and expected
continued amortization. The Negative Rating Outlook on class E
reflects the potential for downgrade due to concerns surrounding
the ultimate impact of the coronavirus pandemic and the performance
concerns associated with the FLOCs, which include three specially
serviced loans.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Sensitivity factors that could lead to upgrades would include
stable to improved asset performance, coupled with additional
paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated
classes are not expected but would likely occur with significant
improvement in CE and/or defeasance and/or the stabilization to the
properties impacted from the coronavirus pandemic. Upgrade of the
'BBB-sf' class are considered unlikely and would be limited based
on the sensitivity to concentrations or the potential for future
concentrations. Classes would not be upgraded above 'Asf' if there
is a likelihood of interest shortfalls. An upgrade to the 'BB-sf'
rated class is not likely unless the performance of the remaining
pool stabilizes and the senior classes pay off.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Sensitivity factors that lead to downgrades include an increase in
pool-level losses from underperforming or specially serviced
loans/assets. Downgrades to classes A-1 through A-S and the IO
classes X-A are not likely due to the position in the capital
structure, but may occur should interest shortfalls occur.
Downgrades to classes B, C, and D are possible should performance
of the FLOCs continue to decline, should loans susceptible to the
coronavirus pandemic not stabilize and/or should further loans
transfer to special servicing. Class E could be downgraded should
losses become more certain or be realized.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, classes with a Negative Rating
Outlook will be downgraded one or more categories.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


CLOVERIE PLC 2007-52: Fitch Hikes Credit-Linked Notes to 'BB+sf'
----------------------------------------------------------------
Fitch Ratings has upgraded the Cloverie PLC 2007-52 USD10,000,000
credit-linked notes (CLNs) to 'BB+sf' from 'BBsf'. The Rating
Outlook remains Stable.

The Stable Outlook on the CLNs reflects the assessment of the
transaction's main risk driver, Vale S.A., which is the
lowest-rated risk-presenting entity.

RATING ACTIONS

Cloverie PLC 2007-52

CLN-Companhia Vale do Rio Doce; LT BB+sf Upgrade; previously BBsf

KEY RATING DRIVERS

This rating action follows Fitch's upgrade of the reference entity,
Vale S.A. to 'BBB' from 'BBB-', which is subject to restructuring
as a credit event. Therefore, based on the CLN "Single-and
Multi-Name Credit-Linked Notes Rating Criteria," dated Feb. 12,
2020, Fitch has applied a one-notch downward adjustment to Vales's
rating to 'BBB-'/Stable from 'BBB'/Stable, prior to applying the
"two-risk matrix." The Stable Outlook reflects the Outlook on the
main risk driver, Vale, which is the lowest-rated risk-presenting
entity.

The rating considers the credit quality of Vale S.A.'s current IDR
of 'BBB'/Stable as the reference entity and Citigroup Inc.,
(A/Negative) as the swap counterparty and issuer of the qualified
investment.

Coronavirus Impact: Fitch acknowledges the uncertainty and rapidly
evolving events related to the coronavirus pandemic and its impact
on global markets. This disruption may impact the ratings of the
risk-presenting entities. The Negative Rating Outlook for Citigroup
reflects the economic disruption driven by the pandemic and
subsequent recession.

RATING SENSITIVITIES

A change of the ratings assigned to any of the risk-presenting
entities could result in a change of the rating assigned to the
notes based on Fitch's CLN criteria Two-Risk CLN Matrix.

Factors that could, individually or collectively, lead to a
positive rating action/upgrade:

Rating Scenarios Regarding Vale (assuming no change to the current
rating assigned to Citigroup):

  -- An upgrade of one notch would result in a rating upgrade of
the notes to 'BBB-sf'.;

  -- An upgrade of two notches would result in a rating upgrade of
the notes to 'BBBsf'.

Rating Scenarios Regarding Citigroup (assuming no change to the
current rating assigned Vale):

  -- An upgrade of one notch would have no impact on the current
rating of the notes;

  -- An upgrade of two notches would result in a rating upgrade of
the notes to 'BBB-sf'.

Factors that could, individually or collectively, lead to a
negative rating action/downgrade:

Rating Scenarios Regarding Vale (assuming no change to the current
rating assigned to Citigroup.):

  -- A downgrade of one notch would result in a rating downgrade of
the notes to 'BBsf';

  -- A downgrade of two notches would result in a rating downgrade
of the notes to 'BB-sf'.

Rating Scenarios Regarding Citigroup (assuming no change to the
current rating assigned Vale.):

  -- A downgrade of one notch would have no impact on the current
rating of the notes;

  -- A downgrade of two notches would result in a rating downgrade
of the notes to 'BBsf'.


CROWN POINT 4: Moody's Confirms Ba3 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Crown Point CLO 4 Ltd.:

US$29,250,000 Class D Secured Deferrable Mezzanine Floating Rate
Notes due 2031 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$20,250,000 Class E Secured Deferrable Junior Floating Rate Notes
due 2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D and E Notes issued by the CLO. The CLO,
issued in March 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3042 compared to 2768
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2826 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.8%. Nevertheless, Moody's noted that the OC tests for the Class
D and Class E Notes, as well as the interest diversion test were
recently reported as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $440,035,267

Defaulted Securities: $6,487,166

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3042

Weighted Average Life (WAL): 6.0 years

Weighted Average Spread (WAS): 3.42%

Weighted Average Recovery Rate (WARR): 47.8%

Par haircut in OC tests and interest diversion test: 1.06%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


CUTWATER 2014-I: Moody's Lowers Rating on Class E Notes to Ca
-------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Cutwater 2014-I, Ltd.:

US$21,800,000 Class D Secured Deferrable Floating Rate Notes due
2026 (the "Class D Notes"), Downgraded to B2 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$7,300,000 Class E Secured Deferrable Floating Rate Notes due
2026 (the "Class E Notes"), Downgraded to Ca (sf); previously on
April 17, 2020 Caa3 (sf) Placed Under Review for Possible
Downgrade

The Class D and Class E Notes are referred to herein as the
"Downgraded Notes."

Moody's also confirmed the rating on the following notes:

US$22,900,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2026 (the "Class C-R Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class C-R Notes are referred to herein as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R Notes, Class D, and Class E Notes issued
by the CLO. The CLO, originally issued in July 2014 and partially
refinanced in June 2017, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 2018.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the rating on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 4406, compared to 3859
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2959 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
43.3%. Moody's noted that the OC tests for the Class C-R Notes and
Class D Notes were recently reported as failing[4], and that on the
July 2020 payment date, the senior notes had been repaid and
current interest payments on the Class D Notes and Class E Notes
had been deferred[5].

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $197,554,124

Defaulted Securities: $21,132,103

Diversity Score: 46

Weighted Average Rating Factor (WARF): 4359

Weighted Average Life (WAL): 3.4 years

Weighted Average Spread (WAS): 4.38%

Weighted Average Recovery Rate (WARR): 46.1%

Par haircut in OC tests and interest diversion test: 9.8%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Our analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. As a result, the degree of uncertainty around our
forecasts is unusually high. We regard the coronavirus outbreak as
a social risk under our ESG framework, given the substantial
implications for public health and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


DRYDEN 47: Moody's Confirms B3 Rating on $10MM Class F Notes
------------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Dryden 47 Senior Loan Fund:

US$43,400,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class D Notes"), Confirmed at Baa3 (sf); previously
on June 3, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$32,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on June 3, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

US$10,500,000 Class F Senior Secured Deferrable Floating Rate Notes
due 2028 (the "Class F Notes"), Confirmed at B3 (sf); previously on
June 3, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class D Notes, the Class E Notes, and the Class F Notes are
referred to herein, collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D, Class E, and Class F Notes issued by the
CLO. The CLO, issued in April 2017, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end on January 2022.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3197, compared to 3092
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2773 reported in the
July 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
16.17%. Nevertheless, Moody's noted that all the OC tests, as well
as the interest diversion test was recently reported [4] as
passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $688,318,186

Defaulted Securities: $10,138,293

Diversity Score: 92

Weighted Average Rating Factor (WARF): 3171

Weighted Average Life (WAL): 5.0 years

Weighted Average Spread (WAS): 3.33%

Weighted Average Recovery Rate (WARR): 47.9%

Par haircut in OC tests and interest diversion test: 1.5%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


EATON VANCE 2014-1R: Moody's Confirms B3 Rating on Class F Notes
----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Eaton Vance CLO 2014-1R, Ltd.:

US$26,800,000 Class D Senior Secured Deferrable Floating Rate Notes
(the "Class D Notes"), Confirmed at Baa3 (sf); previously on April
17, 2020 Baa3 (sf) Placed Under Review for Possible Downgrade

US$23,880,000 Class E Secured Deferrable Floating Rate Notes (the
"Class E Notes"), Confirmed at Ba3 (sf); previously on April 17,
2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$9,260,000 Class F Secured Deferrable Floating Rate Notes (the
"Class F Notes"), Confirmed at B3 (sf); previously on April 17,
2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class D, Class E, and Class F Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D, Class E, and Class F Notes issued by the
CLO. The CLO, issued in August 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in July 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3044, compared to 2882
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2869 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 13%.
Nevertheless, Moody's noted that all the OC tests, as well as the
interest diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $472,262,152

Defaulted Securities: $11,114,512

Diversity Score: 79

Weighted Average Rating Factor (WARF): 3063

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.32%

Weighted Average Recovery Rate (WARR): 48.5%

Par haircut in OC tests and interest diversion test: 0.4%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


ELEVATION CLO 2018-10: Moody's Confirms Ba3 Rating on Cl. E Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Elevation CLO 2018-10, Ltd.:

US$25,300,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$23,500,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D Notes and Class E Notes issued by the CLO.
The CLO, originally issued in November 2018, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end on October 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3142, compared to 2779
reported in the March 2020 trustee report [2]. Based on Moody's
calculation, the proportion of obligors in the portfolio with
Moody's corporate family or other equivalent ratings of Caa1 or
lower (adjusted for negative outlook or watchlist for downgrade)
was approximately 15.4%. Nevertheless, Moody's noted that all the
OC tests, as well as the interest diversion test, were reported as
passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $393,072,484

Defaulted Securities: $4,136,913

Diversity Score: 79

Weighted Average Rating Factor (WARF): 3131

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.47%

Weighted Average Recovery Rate (WARR): 46.60%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


EXETER AUTOMOBILE 2020-3: S&P Assigns Prelim B Rating to F Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Exeter
Automobile Receivables Trust 2020-3's automobile receivables-backed
notes.

The note issuance is an ABS securitization backed by subprime auto
loan receivables.

The preliminary ratings are based on information as of Sept. 9,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The availability of approximately 60.30%, 53.90%, 44.80%,
38.70%, 32.40%, and 29.70% credit support for the class A
(collectively, class A-1, A-2, and A-3 notes), B, C, D, E, and F
notes, respectively, based on stressed cash flow scenarios
(including excess spread). This credit support provides coverage of
approximately 2.50x, 2.20x, 1.80x, 1.50x, 1.25x, and 1.10x S&P's
23.50%-24.50% expected cumulative net loss range. These break-even
scenarios withstand cumulative gross losses of approximately
92.80%, 82.90%, 71.70%, 61.90%, 51.90%, and 47.50% respectively.

-- S&P's expectation for timely interest and principal payments on
the notes, based on stressed cash flow modeling scenarios, which,
in its view, are appropriate for the assigned preliminary ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(1.50x S&P's expected loss level), all else being equal, its
preliminary ratings will be within the credit stability limits
specified by section A.4 of the Appendix in " S&P Global Ratings
Definitions," published Aug 7, 2020.

-- The collateral characteristics of the subprime automobile loans
securitized in this transaction.

-- The transaction's payment, credit enhancement, and legal
structures.

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions,
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.

  PRELIMINARY RATINGS ASSIGNED

  Exeter Automobile Receivables Trust 2020-3

  Class       Rating               Amount
                               (mil. $)

  A-1         A-1+ (sf)             68.00
  A-2         AAA (sf)             161.40
  A-3         AAA (sf)              88.05
  B           AA (sf)               92.12
  C           A (sf)               106.29
  D           BBB (sf)              68.02
  E           BB (sf                69.45
  F           B (sf)                28.34


GALAXY XXIV: Moody's Confirms Ba3 Rating on Class E Notes
---------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Galaxy XXIV CLO, Ltd.:

US$29,500,000 Class D Deferrable Mezzanine Floating Rate Notes due
2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$22,500,000 Class E Deferrable Junior Floating Rate Notes due
2031 (the "Class E Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D and Class E Notes issued by the CLO. The
CLO, issued in December 2017, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end on January 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3258, compared to 2777
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2864 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
20.8% as of July 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $496.3 million, or $3.7 million less than the deal's
ramp-up target par balance. Nevertheless, Moody's noted that all
the OC tests as well as the interest diversion test were recently
reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $494,901,038

Defaulted Securities: $2,420,952

Diversity Score: 77

Weighted Average Rating Factor (WARF): 3282

Weighted Average Life (WAL): 5.93 years

Weighted Average Spread (WAS): 3.18%

Weighted Average Recovery Rate (WARR): 48.2%

Par haircut in OC tests and interest diversion test: 1.3%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


GS MORTGAGE 2013-GCJ16: Moody's Cuts Class G Certs to Caa1
----------------------------------------------------------
Moody's Investors Service affirmed the ratings on twelve classes
and downgraded the rating on one class in GS Mortgage Securities
Trust 2013-GCJ16, Commercial Mortgage Pass-Through Certificates,
Series 2013-GCJ16 as follows:

Cl. A-3, Affirmed Aaa (sf); previously on Dec 23, 2019 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Dec 23, 2019 Affirmed Aaa
(sf)

Cl. A-AB, Affirmed Aaa (sf); previously on Dec 23, 2019 Affirmed
Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Dec 23, 2019 Affirmed Aaa
(sf)

Cl. B, Affirmed Aa1 (sf); previously on Dec 23, 2019 Upgraded to
Aa1 (sf)

Cl. C, Affirmed A1 (sf); previously on Dec 23, 2019 Upgraded to A1
(sf)

Cl. D, Affirmed Baa2 (sf); previously on Dec 23, 2019 Upgraded to
Baa2 (sf)

Cl. E, Affirmed Ba1 (sf); previously on Dec 23, 2019 Affirmed Ba1
(sf)

Cl. F, Affirmed Ba3 (sf); previously on Dec 23, 2019 Affirmed Ba3
(sf)

Cl. G, Downgraded to Caa1 (sf); previously on Dec 23, 2019 Affirmed
B3 (sf)

Cl. X-A*, Affirmed Aaa (sf); previously on Dec 23, 2019 Affirmed
Aaa (sf)

Cl. X-B*, Affirmed Aa1 (sf); previously on Dec 23, 2019 Upgraded to
Aa1 (sf)

Cl. PEZ**, Affirmed Aa2 (sf); previously on Dec 23, 2019 Upgraded
to Aa2 (sf)

* Reflects interest-only classes

** Reflects exchangeable classes

RATINGS RATIONALE

The ratings on nine P&I classes were affirmed because the
transaction's key metrics, including Moody's loan-to-value (LTV)
ratio, Moody's stressed debt service coverage ratio (DSCR) and the
transaction's Herfindahl Index (Herf), are within acceptable
ranges.

The rating on one P&I class, Cl. G, was downgraded due to a decline
in pool performance, driven primarily by an increase in recent
transfers to special servicing, now representing 21% of the pool.
The pool also has a significant concentration of loans secured by
retail (43% of the pool) and hotel (14% of the pool) properties.

The ratings on the IO classes were affirmed based on the credit
quality of their referenced classes.

The rating on class PEZ was affirmed due to the credit quality of
its referenced exchangeable classes.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
commercial real estate from the current weak U.S. economic activity
and a gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high. Stress on
commercial real estate properties will be most directly stemming
from declines in hotel occupancies (particularly related to
conference or other group attendance) and declines in foot traffic
and sales for non-essential items at retail properties. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.

Moody's rating action reflects a base expected loss of 3.6% of the
current pooled balance, compared to 1.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.6% of the
original pooled balance, compared to 1.3% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, loan concentration, an
increase in realized and expected losses from specially serviced
and troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The methodologies used in rating all classes except exchangeable
classes and interest-only classes were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in May 2020, and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in May 2020. The principal methodology used in
rating exchangeable classes was "Moody's Approach to Rating
Repackaged Securities" published in June 2020. The methodologies
used in rating interest-only classes were "Approach to Rating US
and Canadian Conduit/Fusion CMBS" published in May 2020, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower
CMBS" published in May 2020, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published in
February 2019.

DEAL PERFORMANCE

As of the August 12, 2020 distribution date, the transaction's
aggregate certificate balance has decreased by 29% to $767 million
from $1.09 billion at securitization. The certificates are
collateralized by 62 mortgage loans ranging in size from less than
1% to 9% of the pool, with the top ten loans (excluding defeasance)
constituting 49% of the pool. Seventeen loans, constituting 21% of
the pool, have defeased and are secured by US government
securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 19, compared to 20 at Moody's last review.

As of the August 2020 remittance report, loans representing 79%
were current or within their grace period on their debt service
payments, 12% were beyond their grace period but less than 30 days
delinquent, 1% were between 30- and 59-days delinquent, 2% were
between 60- and 89-days delinquent and 6% were 90+ days
delinquent.

Six loans, constituting 9% of the pool, are on the master
servicer's watchlist, of which two loans, representing 1.4% of the
pool, indicate the borrower has requested relief in relation to
coronavirus impact on the property. The watchlist includes loans
that meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues
that could affect performance.

Seven loans, constituting 21% of the pool, are currently in special
servicing, all of which have transferred to special servicing since
March 2020.

The largest specially serviced loan is the Miracle Mile Shops Loan
($68.2 million -- 8.9% of the pool), which represents a pari passu
portion of a $564.8 million first mortgage loan. The loan is
secured by a 450,000 SF regional mall located on the Las Vegas
Strip in Las Vegas, Nevada. The collateral property is located at
the base of the Planet Hollywood Hotel and draws from
non-traditional anchors, three performing arts theaters and the Las
Vegas Strip itself. The collateral was 97% leased as of April 2020,
compared to 96% leased as of June 2018. The March 2020 running
twelve-month comparable in-line sales (tenants with less than
10,000 SF) was $796 PSF, compared to $850 in the prior running
twelve-month period. The loan transferred to special servicing in
August 2020 due to Imminent Monetary Default at the borrower's
request as a result of the pandemic and as of the August remittance
date the loan was last paid through the July 2020 payment date. Due
to the property's historical performance the loan was included in
the conduit statistics. Moody's LTV and stressed DSCR are 93% and
0.90X, respectively,

The second largest specially serviced loan is the Walpole Shopping
Mall Loan ($44.7 million -- 5.8% of the pool), which represents a
pari-passu portion of a $61.4 million mortgage loan. The loan is
secured by a 398,000 SF retail center located in Walpole,
Massachusetts. The property is also encumbered by a $10 million
mezzanine loan. The property was 89% leased as of March 2020,
compared to 96% in September 2019 and 99% in December 2016.
Occupancy declined after OfficeMax (7% of the NRA), vacated at
lease expiration in January 2020. The departure of OfficeMax
triggered certain co-tenancy clauses which may cause further stress
on the property's rental revenue in 2020. The property is anchored
by Kohl's and L.A. Fitness and other major tenants include Barnes &
Noble, Jo-Ann Stores and PetSmart. The loan transferred to special
servicing in May 2020 due to imminent monetary default and is last
paid through the March 2020 payment date. After a temporary closure
due to the coronavirus pandemic, the property reopened on May 25
and is currently in phase III of a four phase re-opening plan. The
special servicer is dual tracking the negotiation of a short-term
modification/forbearance with a secondary strategy of
foreclosure/receivership.

The third largest specially serviced loan is The Camp Loan ($11.7
million -- 1.5% of the pool), which is secured by a 45,000 SF
retail center located in Costa Mesa, California, approximately 40
miles south of Los Angeles. The property was 100% leased as of
September 2019 compared to 91% in 2016 and 2017. The loan
transferred to special servicing in May 2020 for imminent monetary
default at the borrower's request as a result of the pandemic. The
loan is last paid through the July 2020 payment date and the
special servicer is reaching out to the borrower to assess next
steps. The property faces rollover risk with its two largest
tenants (combining for nearly 36% of the NRA) having lease
expirations in 2020 and 2021. Due to the property's historical
performance the loan was included in the conduit statistics.
Moody's LTV and stressed DSCR are 107% and 1.01X, respectively.

The remaining four specially serviced loans are secured by two
hotel and two retail properties.

Moody's received full year 2019 operating results for 100% of the
pool, and partial year 2020 operating results for 91% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 95%, compared to 89% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and one specially serviced
loan (the Walpole Shopping Mall). The remaining specially serviced
loans were included in the conduit model due to their performing
nature prior to 2020. Moody's net cash flow (NCF) reflects a
weighted average haircut of 24% to the most recently available net
operating income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.5%.

Moody's actual and stressed conduit DSCRs are 1.46X and 1.12X,
respectively, compared to 1.57X and 1.20X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 21% of the pool balance. The
largest loan is the Windsor Court New Orleans Loan ($65.3 million
-- 8.5% of the pool), which is secured by a 316-key hotel located
in the central business district (CBD) of New Orleans, Louisiana
(less than one mile from the French Quarter). The property's
historical performance generally improved from securitization
through year-end 2019 due to significantly higher revenues. For the
trailing twelve-month period ending April 2020, the hotel was 65%
occupied and had a revenue per available room (RevPAR) of $235,
compared to an occupancy and RevPAR of 66% and $231, respectively,
for the prior trailing twelve-month period ending April 2019. The
loan is current as of its August 2020 payment date and Moody's LTV
and stressed DSCR are 99% and 1.23X, respectively, compared to 94%
and 1.27X at last review.

The second largest loan is The Gates at Manhasset Loan ($52.7
million -- 6.9% of the pool), which is secured by a 106,000 square
foot (SF) open air retail property located on Northern Boulevard in
Manhasset, New York. The property was 83% leased as of June 2020,
compared to 97% leased in June 2019, and 100% leased in September
2017. The occupancy decline was a result of Banana Republic (8,100
SF) and Indochina (2,510 SF) both recently vacating the property.
The year-end 2019 net operating income (NOI) was above levels at
securitization, however, property performance is expected to
decline if the borrower is unable to backfill the recent vacancies.
Moody's LTV and stressed DSCR are 82% and 1.08X, respectively,
compared to 65% and 1.34X at the last review.

The third largest loan is the Regency Portfolio Loan ($39.2 million
-- 5.1% of the pool), which is secured by a portfolio of 14
anchored retail centers with a total of 1,362,551 SF located in
tertiary markets across eight states - Alabama, Florida, Georgia,
Indiana, Kentucky, Mississippi, Virginia and West Virginia. Ten of
the fourteen properties are anchored by grocery stores. Major
tenants include Wal-Mart, Kroger, J.C. Penney, Piggly Wiggly,
Aldi's, Save-A-Lot, Family Dollar, Dollar Tree and Big Lots as well
as other regional retailers. The portfolio was collectively 85%
leased as of March 2020, compared to 77% in December 2019 and 94%
at securitization. The portfolio's performance has been declining
since 2018 due to lower rental revenues. Moody's LTV and stressed
DSCR are 105% and 1.02X, respectively, compared to 98% and 1.06X at
the last review.


HALCYON LOAN 2017-2: Moody's Confirms Ba3 Rating on Class D Notes
-----------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Halcyon Loan Advisors Funding 2017-2 Ltd.:

US$27,000,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class C Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$18,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2030 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C Notes and Class D Notes issued by the CLO.
The CLO, issued in November 2017, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in January 2022.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3041, compared to 2764
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2982 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 14%.
Nevertheless, Moody's noted that the OC tests as well as the
interest diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $438,252,875

Defaulted Securities: $11,641,636

Diversity Score: 81

Weighted Average Rating Factor (WARF): 3087

Weighted Average Life (WAL): 5.5 years

Weighted Average Spread (WAS): 3.54%

Weighted Average Recovery Rate (WARR): 47.4%

Par haircut in OC tests and interest diversion test: 0.27%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


INSITE WIRELESS 2020-1: Fitch to Rate Class C Notes 'BB-sf'
-----------------------------------------------------------
Fitch Ratings has issued a presale report on InSite Wireless
Group's InSite Issuer LLC and InSite Co-Issuer Corp. Secured
Cellular Site Revenue Notes, Series 2020-1.

Fitch expects to rate the following classes:

  -- $121,100,000 2020-1 class A 'Asf'; Outlook Stable;

  -- $21,400,000 2020-1 class B 'BBB-sf'; Outlook Stable;

  -- $21,500,000 2020-1 class C 'BB-sf'; Outlook Stable.

It is expected that upon the closing of the 2020 series that the
2020-1 class A is pari passu with the 2018-1 class A and the 2016-1
class A; the 2020-1 class B is pari passu with the 2018-1 class B
and the 2016-1 class B; and the 2020-1 class C is pari passu with
the 2018-1 class C and the 2016-1 class C. The new series of
securities will be issued pursuant to a supplement to the amended
and restated indenture dated Dec. 17, 2018.

TRANSACTION SUMMARY

The expected ratings are based on information provided by the
issuer as of July 2020.

This transaction is backed by mortgaged cellular sites,
representing approximately 79.1% of the annualized run rate net
cash flow (ARRNCF), and guaranteed by the direct parent of the
co-issuers. The guarantees are secured by a pledge of, and
first-priority security interest in, 100% of the equity interest of
the co-issuers and their subsidiaries (which own or lease 1,860
wireless communication sites and own the rights to operate 31
distributed antennae system [DAS] networks). This new series of
securities will be issued pursuant to a supplement to the
indenture.

KEY RATING DRIVERS

Trust Leverage: The Fitch NCF for the pool is $82.5 million,
implying a Fitch stressed debt service coverage ratio (DSCR) of
1.16x. The debt multiple relative to Fitch's NCF is 9.3x, which
equates to a debt yield of 10.8%.

Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
of over 30 years after closing, and the long-term tenor of the
securities increases the risk that an alternative technology -
rendering obsolete the current transmission of wireless signals
through cellular sites - will be developed. Wireless service
providers (WSPs) currently depend on towers to transmit their
signals and continue to invest in this technology.

DAS Networks: The collateral pool contains 31 DAS networks
representing 7.9% of the annualized run rate NCF (ARRNCF). DAS
sites are located within buildings or other structures, or venues
for which an asset entity has rights under a lease or license to
install and operate a DAS, or to manage a DAS network, on the
premises.

Prefunding: On the closing date, $30 million (3.9% of total
proceeds across 2016-1, 2018-1 and
2020-1) will be deposited into a site acquisition account to be
used during a 12-month period to acquire additional cellular sites
or convert leasehold sites to owned or easement, or in connection
with lease-up activity on existing sites. Prefunding introduces
uncertainty as to final collateral characteristics. Fitch accounted
for prefunding by stressing the NCF of the prefunding component to
reflect the most conservative prefunding pool composition tests.

Leases to Strong Tower Tenants: There are 3,858 tenant leases.
Telephony and data tenants represent 77.5% annualized run rate
revenue (ARRR), and 58.3% of the ARRR is from tenants with
investment-grade-rated parent entities. Tenant leases on the
cellular sites have average annual escalators of 3.0% and an
average final remaining term (including renewals) of 22.3 years.

Diversified Pool: There are 1,331 tower sites, 498 land sites and
31 DAS sites spanning 50 states, Canada (166 sites), the U.S.
Virgin Islands (seven sites) and Puerto Rico (73 sites). The
largest state (Texas) represents approximately 10.8% ARRRNCF. The
top 10 states and provinces represent 56.1% ARRNCF.

Scheduled Amortization: The transaction is structured with
scheduled monthly principal payments that will amortize down the
principal balance of the 2018 notes by 10% by the anticipated
repayment date (ARD) in year five, reducing the refinance risk. The
scheduled amortization is deferrable such that no event of default
will have occurred if the borrower accrues monthly principal
payments to the next period, prior to its rated final payment date.
The 2020 and 2016 series of notes have no scheduled amortization.

Canadian Towers: The collateral pool includes 166 sites located in
Canada (6.1% ARRNCF). There is no currency swap in place for this
transaction. Two collection accounts (USD and CAD) have been
established. So long as there are sufficient funds in the
collection accounts to pay the required amounts, the trustee will
apply funds from those respective accounts. In the event there are
insufficient funds in the collection account of the applicable
currency, but there are available funds in the other collection
account, the indenture trustee shall withdraw funds from such other
collection account, convert them into the other currency at the
spot rate of foreign exchange and apply such converted funds to pay
the remaining amounts owed. To account for the potential CAD/USD
currency risk, Fitch applied a 25% additional stress to its NCF
from the Canadian sites.

Security Interest: Sites representing approximately 79.1% of the
ARRNCF (85.9% excluding DAS) are secured by a first leasehold
mortgage and a perfected security interest in the personal property
owned by the asset entities. The security interests are perfected
by the filing of the financing statements under the Uniform
Commercial Code (UCC). The pledge of the equity of co-issuers
provides noteholders with the ability to foreclose on the ownership
of co-issuers in the event of default. Title insurance policies are
or will be in place for all mortgaged sites by the closing date.
The DSCR parameters reflect the collateral of the transaction.

Importance of Towers to WSPs: Increased smartphone penetration and
data usage have increased the need for cell towers. With WSPs
continuing to densify 4G networks and roll out 5G networks to
handle higher demand for data capacity, there is a need for
additional towers. The emergence of tablets and other devices
further increases demand for higher speeds and network build-outs.

Additional Securities: The transaction allows for the issuance of
additional notes. The additional notes will rank pari passu with
any class of notes bearing the same class designation and are
subject to, among other things, the DSCR after the issuance of
additional notes not being less than the DSCR before such issuance.
Additional notes may be issued without additional collateral,
provided the DSCR after the issuance is not less than 2.0x. As
Fitch monitors the transaction, the possibility of rating upgrades
may be limited due to the provision that allows additional notes
and cash flow deterioration.

T-Mobile and Sprint Consolidation: T-Mobile US, Inc. and Sprint
Corporation (combined 21.3% of ARRR) merged in April 2020 to form
The New T-Mobile; approximately 8.0% of transaction-level ARRR from
The New T-Mobile is attributable to Sprint legacy leases. Leases
from those tenants could experience churn if overlapping sites are
decommissioned. Fitch's NCF assumes 50% of co-located Sprint leases
will not renew at lease maturity, resulting in approximately a $0.3
million reduction in Fitch stressed cash flow.

Coronavirus: Fitch believes the risk of the coronavirus negatively
affecting the telecom sector's operational performance, including
that of tower operators, is relatively low. The lower risk is due
to the integral nature of wireless services in consumers'
day-to-day lives. As such, wireless phone services have a high
position in consumer priority payments. Nonetheless, demands on
infrastructure due to changes in work and usage patterns, as well
as the ability of network suppliers to provide products and
services to wireless carriers, could have an impact. The ultimate
impact on the sector is mixed as some factors could also increase
demand for certain products and services.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Increasing cash flow without an increase in corresponding debt,
from contractual lease escalators, new tenant leases, or lease
amendments could lead to upgrades.

A 10% increase in Fitch's NCF indicates the following model-implied
rating sensitivities: class A from 'Asf' to 'Asf'; class B from
'BBB-sf' to 'BBBsf'; class C from 'BB-sf' to 'BBsf'.

However, Upgrades are unlikely for these transactions given the
provision for the issuer to issue additional notes, which rank pari
passu or subordinate to existing notes, without the benefit of
additional collateral. In addition, the transaction is capped in
the 'Asf' category, given the risk of technological obsolescence.
Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Declining cash flow as a result of higher site expenses or lease
churn, and the development of an alternative technology for the
transmission of wireless signal could lead to downgrades.

Fitch's NCF was 4.8% below the issuer's underwritten cash flow. A
further 10% decline in Fitch's NCF indicates the following
model-implied rating sensitivities: class A from 'Asf' to 'BBB-sf';
class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'B-sf'.

ESG CONSIDERATIONS

InSite 2020-1: Transaction & Collateral Structure: 4

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity, either
due to their nature or the way in which they are being managed by
the entity.


KKR CLO 25: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by KKR CLO 25 Ltd.:

US$23,600,000 Class C Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class C Notes"), Confirmed at A2 (sf); previously on
June 3, 2020 A2 (sf) Placed Under Review for Possible Downgrade

US$27,000,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class D Notes"), Confirmed at Baa3 (sf); previously
on April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$21,200,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes, Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D Notes and Class E Notes, and on June 3,
2020 on the Class C Notes issued by the CLO. The CLO, originally
issued in May 2019, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2024.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3527, compared to 3222
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2949 reported in
the July 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
26.6% as of July 2020. Nevertheless, Moody's noted that all the OC
tests, as well as the interest reinvestment test were recently
reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount and principal proceeds balance: $447,452,126

Defaulted Securites: $1,286,255

Diversity Score: 67

Weighted Average Rating Factor (WARF): 3548

Weighted Average Life (WAL): 5.75 years

Weighted Average Spread (WAS): 3.47%

Weighted Average Recovery Rate (WARR): 48.58%

Par haircut in OC tests and interest diversion test: 1.68%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


LEGACY MORTGAGE 2019-RPL1: Moody's Gives B- Rating on Cl. B2 Debt
-----------------------------------------------------------------
Fitch Ratings has assigned ratings to Legacy Mortgage Asset Trust
2019-RPL1 (LMAT 2019-RPL1).

RATING ACTIONS

Legacy Mortgage Asset Trust 2019-RPL1

Class A1; LT AAAsf New Rating

Class A2; LT Asf New Rating

Class A3; LT B-sf New Rating

Class B1; LT Asf New Rating

Class B2; LT B-sf New Rating

Class B3; LT NRsf New Rating

Class B4; LT NRsf New Rating

Class B5; LT NRsf New Rating

Class PT; LT NRsf New Rating

Class RI; LT NRsf New Rating

LMAT 2019-RPL1 is supported by a pool of re-performing mortgage
loans (RPL). The transaction was originally issued in 2019 and was
not rated at deal close. In tandem with this rating assignment, the
transaction is being modified to allow principal collection to be
redirected to cover any potential interest shortfalls on the
classes A1 and B1 as well as to the B2 and B3 assuming it is the
most senior bond then outstanding, use interest payment otherwise
allocable to the class B3 to fund an account that may be used for
potential repurchases, and add certain constraints on which
institutions can act as an "Eligible Account".

KEY RATING DRIVERS

Coronavirus Impact Addressed (Negative): Coronavirus and the
resulting containment efforts have resulted in revisions to Fitch's
GDP estimates for 2020. Its baseline global economic outlook for
U.S. GDP growth is currently a 5.6% decline for 2020, down from
1.7% for 2019. Fitch's downside scenario would see an even larger
decline in output in 2020 and a weaker recovery in 2021. To account
for declining macroeconomic conditions resulting from the
coronavirus, an Economic Risk Factor (ERF) floor of 2.0 (the ERF is
a default variable in the U.S. RMBS loan loss model) was applied to
'BBBsf' and below.

Deferrals as Delinquencies (Negative): Close to 10% of the loans in
the transaction are marked as current but appear to be in a
deferral plan. Under this approach the borrower does not make the
payment but is marked as current as the servicer extends the next
due date. Since the borrower is not cash-flowing, they were treated
as delinquent in Fitch's loss analysis.

RPL Credit Quality (Mixed): The collateral consists of 30-year FRM
and 5-year ARM fully amortizing loans, seasoned approximately 168
months in aggregate. The borrowers in this pool have weaker credit
profiles (651 FICO) and relatively high leverage (72.4% sLTV). In
addition, the pool contains no loans of particularly large size.
Only 2 loans are over $1 million and the largest is $1.02 million.
47% of the pool had a delinquency in the past 24 months.

Geographic Concentration (Neutral): Approximately 31% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in New York MSA
(12.3%) followed by the Los Angeles MSA (8.5%) and the Miami MSA
(5.5%). The top three MSAs account for 26.2% of the pool. As a
result, there was no adjustment for geographic concentration.

Payment Forbearance Assumptions Due to COVID-19 (Negative): The
outbreak of COVID-19 and widespread containment efforts in the U.S.
has resulted in higher unemployment and cash flow disruptions. To
account for the cash flow disruptions and lack of advancing for
borrower's forbearance plans, Fitch assumed at least 40% of the
pool is delinquent for the first six months of the transaction at
all rating categories with a reversion to its standard delinquency
and liquidation timing curve by month 10. This assumption is based
on observations of legacy Alt-A delinquencies and past-due payments
following Hurricane Maria in Puerto Rico.

Transaction Structure (Positive): The transaction's cash flow is
based on a sequential-pay structure whereby the subordinate classes
do not receive principal until the senior classes are repaid in
full. Losses are allocated in reverse-sequential order.

No Servicer Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of principal and interest. Because P&I
advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.

Low Operational Risk (Neutral): Operational risk is well controlled
for in this transaction. Goldman Sachs has an established operating
history acquiring single family residential loans and is assessed
as an 'Average' aggregator by Fitch. Rushmore Loan Management
Services, LLC (Rushmore), rated 'RPS2' by Fitch, and Select
Portfolio Servicing, Inc. (SPS), rated 'RPS1-', are the named
servicers for the transaction. Fitch reduced its expected losses by
23 bps at the 'AAAsf' rating category due to the servicer
assessments. Issuer retention of at least 5% of the bonds also
helps ensure an alignment of interest between both the issuer and
investor.

R&W's Have Limited Representations and Warranties (Negative): The
loan-level representations and warranties (R&Ws) are consistent
with a Tier 3 framework. The tier assessment is based on the
limited loan level R&Ws that are typically mitigated with 100% due
diligence review. However, due diligence was only performed on
approximately 60% of the pool, and a breach reserve account was
established that replaces the Sponsor's responsibility to cure any
R&W breaches following the established sunset period. Fitch
increased its loss expectations by 260 bps at the 'AAAsf' rating
category to reflect both the limitations of the R&W framework as
well as the non-investment-grade counterparty risk of the
provider.

Due Diligence Review Results (Negative): A third-party due
diligence review was performed on 59% of the loans in the
transaction pool. The review was performed by multiple TPR firms.
The due diligence results indicate moderate operational risk with
10.1% of loans receiving a final grade of 'C' or 'D'. This
concentration of material exceptions is high relative to other
Fitch-rated RPL RMBS, and loss severity adjustments were applied to
approximately 11% of loans that had missing or estimated final
HUD-1 documents necessary for testing compliance with predatory
lending regulations. These regulations are not subject to statute
of limitations unlike the majority of compliance exceptions which
ultimately exposes the trust to added assignee liability risk.

Fitch applied the same adjustment framework to the loans that did
not receive due diligence to reflect the absence of predatory
lending testing. In total, Fitch increased its model loss severity
on close to 50% of the pool and as a result adjusted its loss
expectation at the 'AAAsf' rating category by approximately 400 bps
to account for this added risk.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
The implied rating sensitivities are only an indication of some of
the potential outcomes and do not consider other risk factors that
the transaction may become exposed to or that may be considered in
the surveillance of the transaction. Sensitivity analyses was
conducted at the state and national levels to assess the effect of
higher MVDs for the subject pool as well as lower MVDs, illustrated
by a gain in home prices.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 39.5% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to negative MVDs at the national level, or
in other words positive home price growth with no assumed
overvaluation. The analysis assumes positive home price growth of
10.0%. Excluding the senior class, which is already rated 'AAAsf',
the analysis indicates there is potential positive rating migration
for all of the rated classes. Specifically, a 10% gain in home
prices would result in a full category upgrade for the rated class
excluding those assigned 'AAAsf' ratings.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modelling process uses the modification
of these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

Fitch has added a Coronavirus Sensitivity Analysis that that
includes a prolonged health crisis resulting in depressed consumer
demand and a protracted period of below-trend economic activity
that delays any meaningful recovery to beyond 2021. Under this
severe scenario, Fitch expects the ratings to be impacted by
changes in its sustainable home price model due to updates to the
model's underlying economic data inputs. Any long-term impact
arising from coronavirus disruptions on these economic inputs will
likely affect both investment- and speculative-grade ratings.

CRITERIA VARIATION

There are two variations to the U.S. RMBS Rating Criteria. The tax
and title search were performed at the time of the initial
transaction closing, which is outside of the six-month timeframe
that Fitch looks to in criteria. This is mitigated by the
relatively small number of outstanding amounts at the time the
search was completed, the close proximity to the threshold Fitch
has in place as well as the servicers responsibility in line with
the transaction documents to advance these payments to maintain the
trust's interest in the loans. As a result, there was no rating
impact.

The second variation relates to the outdated FICO scores for the
transaction. The FICOs were updated at the time of the transaction
close, which is more than the six-month window in which Fitch looks
for updated values. The stale values have no impact on the levels
as the performance has been fairly stable since they were pulled.
Additionally, while outdated, the values better capture the
borrower's credit after the modification and their initial default.
To the extent the borrower has underperformed it will be reflected
in the paystring, which would have a much more meaningful impact on
the levels.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Opus, Digital Risk, Mission Global, Clayton
and Recovco. The third-party due diligence described in Form 15E
focused on a regulatory compliance review that covered applicable
federal, state and local high-cost loan and/or anti-predatory laws,
as well as the Truth in Lending Act (TILA) and Real Estate
Settlement Procedures Act (RESPA).

Fitch considered this information in its analysis and, as a result,
Fitch made the following adjustment(s) to its analysis:

77 of reviewed loans, or approximately 3.2% of the total pool,
received a final grade of 'D' as the loan file did not contain a
final HUD-1. The absence of a final HUD-1 file does not allow the
TPR firm to properly test for compliance surrounding predatory
lending in which statute of limitations does not apply. These
regulations may expose the trust to potential assignee liability in
the future and create added risk for bond investors. Fitch
increased the LS on these loans to account for missing final
HUD-1.

The remaining 166 loans, or approximately 6.9% of the total pool,
with a final grade of 'C' or 'D' reflect missing final HUD-1 files
that are not subject to predatory lending, missing state
disclosures, and other missing documents related to compliance
testing. Fitch notes that these exceptions are unlikely to add
material risk to bondholders since the statute of limitations on
these issues have expired. No adjustment to loss expectations were
made for these 166 loans for compliance issues.

Fitch also applied model adjustments on 39 loans with a broken
chain of title and 26 loans that had missing modification
agreements. These loans received a three-month foreclosure timeline
extension to represent a delay in the event of liquidation as a
result of these files not being present.

Loans that were not reviewed for regulatory compliance,
approximately 41% of the transaction pool, were subject to the
missing HUD-1 adjustment applied. This reflects the absence of
regulatory compliance testing, which is performed to confirm that
loans comply with predatory lending regulations.

These adjustment(s) resulted in an increase to the AAAsf losses of
almost 400bps.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and
enforcement mechanisms (RW&Es) that are disclosed in the offering
document and which relate to the underlying asset pool is available
by clicking the link to the Appendix. The appendix also contains a
comparison of these RW&Es to those Fitch considers typical for the
asset class as detailed in the Special Report titled
'Representations, Warranties and Enforcement Mechanisms in Global
Structured Finance Transactions'.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


MARBLE POINT XVIII: S&P Assigns BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Marble Point CLO XVIII
Ltd.'s fixed- and floating-rate notes.

The note issuance is a CLO transaction backed by primarily broadly
syndicated speculative-grade (rated 'BB+' and lower) senior secured
term loans that are governed by collateral quality tests.

The ratings reflect:

-- The diversification of the collateral pool.

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization.

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  RATINGS ASSIGNED

  Marble Point CLO XVIII Ltd./Marble Point CLO XVIII LLC


  Class                 Rating       Amount (mil. $)
  A                     AAA (sf)              300.00
  B-1                   AA (sf)                43.00
  B-2                   AA (sf)                33.00
  C (deferrable)        A (sf)                 29.00
  D-1 (deferrable)      BBB+ (sf)              13.75
  D-2 (deferrable)      BBB- (sf)              13.75
  E (deferrable)        BB- (sf)               17.50
  Subordinated notes    NR                     44.50

  NR--Not rated.


MERCER FIELD II: Moody's Lowers Rating on Class D-2 Notes to B1
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Mercer Field II CLO Ltd.:

US$16,000,000 Class D-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D-1 Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

US$34,000,000 Class D-2 Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class D-2 Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class D-1 Notes and the Class D-2 Notes are referred to herein,
collectively, as the "Downgraded Notes."

Moody's also confirmed the rating on the following notes:

US$60,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

The Class C Notes are referred to herein the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C, Class D-1, and Class D-2 Notes issued by
the CLO. The CLO, issued in March 2017, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in April 2021.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
loss of collateral coverage and credit deterioration observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the credit enhancement available to the CLO notes has
declined, the default risk of the CLO portfolio has increased, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the
over-collateralization (OC) ratio for the Class A, Class B, Class
C, and Class D are reported at 131.04%, 121.59%, 111.91%, and
104.94%, respectively, vs. 134.12%, 124.46%, 114.56%, and 107.44%
in March 2020[2], respectively. Based on Moody's calculation, the
total collateral par balance, including recoveries from defaulted
securities, is currently $849.0 million, or $26 million less than
the deal's ramp-up target par balance. Moody's noted that the OC
tests are currently passing but the interest diversion test is
recently reported as failing, which could result in a portion of
excess interest collections being diverted towards reinvestment in
collateral at the next payment date should the failure continue.
Additionally, according to the August 2020 trustee report [3], the
weighted average rating factor (WARF) was reported at 3183,
compared to 3027 reported in the March 2020 trustee report [4].
Based on Moody's calculation, the proportion of obligors in the
portfolio with Moody's corporate family or other equivalent ratings
of Caa1 or lower (adjusted for negative outlook or watchlist for
downgrade) was approximately 22%.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $848,580,827

Defaulted Securities: $9,969,156

Diversity Score: 70

Weighted Average Rating Factor (WARF): 3240

Weighted Average Life (WAL): 4.7 years

Weighted Average Spread (WAS): 3.35%

Weighted Average Recovery Rate (WARR): 47.6%

Par haircut in O/C tests and interest diversion test: 0.7%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


MSJP COMMERCIAL 2015-HAUL: Fitch Affirms BBsf Rating on Cl. E Debt
------------------------------------------------------------------
Fitch Ratings has affirmed all classes of MSJP Commercial Mortgage
Securities Trust 2015-HAUL (MSJP 2015-HAUL).

RATING ACTIONS

MSJP 2015-HAUL

Class A 553697AA1; LT AAAsf Affirmed; previously at AAAsf

Class B 553697AG8; LT AA-sf Affirmed; previously at AA-sf

Class C 553697AJ2; LT A-sf Affirmed; previously at A-sf

Class D 553697AL7; LT BBB-sf Affirmed; previously at BBB-sf

Class E 553697AN3; LT BBsf Affirmed; previously at BBsf

Class X-A 553697AC7; LT AAAsf Affirmed; previously at AAAsf

Class X-B 553697AE3; LT AA-sf Affirmed; previously at AA-sf

KEY RATING DRIVERS

Performance as Expected: The affirmations are the result of
stable-to-improved occupancy and gross potential rent, as well as
the continued amortization of the loan as expected since issuance.
The portfolio's occupancy has increased from 77.5% in 2010 to 84.2%
at year-end (YE) 2019, but is slightly below YE 2018 occupancy of
85.6%.

The master servicer's reported net cash flow (NCF) includes income
and related expenses from U-Haul's moving businesses, which Fitch
excluded from its issuance NCF as it is not part of the securitized
collateral. Additionally, certain operating expense items, such as
payroll and benefits, property insurance and utilities have
increased since issuance; some of these may include expenses from
non-collateral items. Fitch has inquired about these increases from
the servicer, but has not received a response. Although the YE 2019
Fitch-stressed NCF is 4.3% below the Fitch YE 2018 NCF and 23.5%
below the Fitch issuance NCF, largely due to the increased
operating expenses, Fitch's analysis is based on certain expense
line-item assumptions, using both issuance levels, which were
normalized for collateral expense items only, as well as some of
the reported increases.

Fully Amortizing Loan and Fitch Leverage: The whole loan is
structured with a 20-year amortization schedule providing full
amortization over the term of the loan. The trust notes are
scheduled to be interest-only for the first 10 years and the
non-trust $100 million component will fully amortize to zero in the
first 10 years. The whole loan has a Fitch-stressed debt service
coverage ratio (DSCR) and loan-to-value (LTV) of 1.28x and 72.3%,
respectively, compared to 1.24x and 77.2% at issuance, inclusive of
an amortization factor of 75%. The loan is scheduled to mature in
September 2035.

Collateral: The certificates represent the beneficial interest in a
20-year, fixed-rate, mortgage loan secured by 105
cross-collateralized self-storage properties located across 35
states owned by AMERCO (NASDAQ: UHAL). All of the properties are
owned fee simple. The average year built of the portfolio is 1967.
The majority of the properties offer the following amenities: an
electronic gate, outdoor drive-up storage, climate-controlled
storage, trucks available for move-ins, RV parking, moving supplies
for sale, towing equipment, and propane refill stations.

Granular Portfolio: The loan is secured by 105 cross-collateralized
self-storage properties located across 35 states. No single
property represents more than 5.8% of NOI.

Experienced Sponsorship and Management: The loan is sponsored by
AMERCO, the parent company of U-Haul, which is the nation's leading
do-it-yourself moving company with a network of over 17,400
locations across North America. Founded by L.S. Shoen in 1945 as
U-Haul Trailer Rental Company, the industry giant has one of the
largest rental fleets in the world, with over 135,000 trucks,
107,000 trailers, and 38,000 towing devices. The portfolio is
managed by U-Haul through management agreements with U-Haul
subsidiaries in each of the states where the portfolio properties
are located. U-Haul owns and operates approximately 1,280
self-storage locations in the U.S. totaling roughly 491,000 units
and 44.2 million sf of space.

RATING SENSITIVITIES

The Rating Outlook for all classes remains Stable.

Factors that could, individually or collectively, lead to positive
rating action/upgrade

  -- A sustained increase in property cash flow and clarity on
portfolio operating expenses.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

  -- A significant decline in occupancy;

  -- A significant deterioration in property cash flow.


REGIONAL TRUST 2020-1: S&P Assigns Prelim 'BB+' Rating to D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Regional
Management Issuance Trust 2020-1's  personal consumer loan-backed
notes.

The note issuance is an ABS securitization backed by personal
consumer loan receivables.

The preliminary ratings are based on information as of Sept. 10,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The availability of approximately 54.16%, 44.94%, 36.96%, and
30.93% credit support to the class A, B, C, and D notes,
respectively, in the form of subordination, overcollateralization,
a reserve account, and excess spread. These credit support levels
are sufficient to withstand stresses commensurate with the
preliminary ratings on the notes based on S&P's stressed cash flow
scenarios.

-- S&P's worst-case weighted average base-case loss assumption for
this transaction is 11.71%. This base-case is a function of the
transaction-specific reinvestment criteria, actual Regional
Management Corp. (Regional) loan performance to date, and a
moderate adjustment in response to the COVID-19 pandemic-related
macroeconomic environment. S&P's base-case further reflects
year-over-year performance volatility observed in annual loan
vintages across time.

-- In addition to running stressed cash flows, which in each
instance showed timely interest and principal payments made by the
legal final maturity date, S&P conducted liquidity analyses to
assess the impact of a temporary disruption in loan principal and
interest payments over the next 12 months as a result of the
COVID-19 pandemic. These included elevated deferment levels and a
reduction of voluntary prepayments to 0%. Based on S&P's analyses,
the note interest payments and transaction expenses are a small
component of the total collections from the pool of receivables,
and, accordingly, S&P believes the transaction could withstand
temporary, material declines in collections and still make full and
timely liability payments.

-- To date, Regional's central facilities and local branches
remain open and operational. Regional has the capacity to shift
branch employees to other branches as needed, and in May began
rolling out the option to close loans remotely, as opposed to
within branches, if needed.

-- In response to the COVID-19 pandemic, Regional tightened
underwriting and enhanced servicing procedures for its portfolio.
Regional selectively eliminated loans to lower-credit grade
borrowers, reduced advances to lower-credit grade existing
borrowers, and lowered lending limits to new borrowers across all
risk levels. Regional has introduced new payment deferral options
to borrowers negatively impacted by the COVID-19 pandemic. While
deferment levels rose and peaked in April 2020, they decreased
through July 2020 to historic trend levels. Transaction documents
dictate that a reinvestment criteria event will occur if loans
subject to deferment during the previous collection period exceed
10.0% of the aggregate principal balance.

-- S&P’s expectation that under a moderate ('BBB') stress
scenario, all else being equal, the assigned preliminary ratings
will be within the limits specified in the credit stability section
of "S&P Global Ratings Definitions," published Aug. 7, 2020.

-- The timely interest and full principal payments expected to be
made under stressed cash flow modeling scenarios appropriate to the
assigned preliminary ratings.

-- The characteristics of the pool being securitized and
receivables expected to be purchased during the revolving period.

-- The operational risks associated with Regional's decentralized
business model.

-- The transaction's payment and legal structures.

  PRELIMINARY RATINGS ASSIGNED

  Regional Management Issuance Trust 2020-1

  Class       Rating               Amount
                               (mil. $)
  A           A (sf)              134.060
  B           A- (sf)              18.090
  C           BBB (sf)             16.130
  D           BB+ (sf)             11.720


SDART 2018-5: Fitch Affirms BBsf Rating on Class E1 Notes
---------------------------------------------------------
Fitch Ratings has taken various actions on outstanding classes in
Santander Drive Auto Receivables Trusts (SDART) 2016-2, 2016-3,
2017-2, 2017-3, 2018-1, 2018-2, 2018-5, 2019-1, and 2019-2, and
revised the Rating Outlooks on subordinate notes to Positive from
Stable, and on senior notes to Stable from Positive. The market
disruption due to the coronavirus pandemic and related containment
measures did not negatively affect the ratings, because there is
sufficient credit enhancement (CE) to cover higher cumulative net
losses (CNL) projected after more severe assumptions were applied.
The sensitivity of the ratings to scenarios more severe than
currently expected is provided in the Rating Sensitivities
section.

RATING ACTIONS

Santander Drive Auto Receivables Trust 2016-2

Class D 80285CAJ0; LT AAAsf Upgrade; previously at AAsf

Class E 80285CAA9; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2016-3

Class D 80284RAG4; LT AAAsf Upgrade; previously at AAsf

Class E 80284RAH2; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2017-2

Class C 80285LAE1; LT AAAsf Affirmed; previously at AAAsf

Class D 80285LAF8; LT AAAsf Upgrade; previously at AAsf

Class E 80285LAG6; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2017-3

Class C 80284YAF1; LT AAAsf Affirmed; previously at AAAsf

Class D 80284YAG9; LT Asf Affirmed; previously at Asf

Class E 80284YAH7; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2018-1

Class C 80285TAF1; LT AAAsf Upgrade; previously at AAsf

Class D 80285TAG9; LT Asf Affirmed; previously at Asf

Class E 80285TAH7; LT BBsf Affirmed; previously at BBsf

Santander Drive Auto Receivables Trust 2018-2

Class C 80285FAF1; LT AAAsf Upgrade; previously at AAsf

Class D 80285FAG9; LT Asf Affirmed; previously at Asf

Class E 80285FAH7; LT BBsf Affirmed; previously at BBsf

Santander Drive Auto Receivables Trust 2018-5

Class B1 80286AAE4; LT AAAsf Affirmed; previously at AAAsf

Class C1 80286AAF1; LT AAAsf Upgrade; previously at AAsf

Class D1 80286AAG9; LT BBBsf Affirmed; previously at BBBsf

Class E1 80286AAH7; LT BBsf Affirmed; previously at BBsf

SDART 2019-1

Class A-3 80285HAD2; LT AAAsf Affirmed; previously at AAAsf

Class B 80285HAE0; LT AAAsf Affirmed; previously at AAAsf

Class C 80285HAF7; LT AAsf Upgrade; previously at Asf

Class D 80285HAG5; LT BBBsf Affirmed; previously at BBBsf

Class E 80285HAH3; LT BBsf Affirmed; previously at BBsf

Santander Drive Auto Receivables Trust 2019-2

Class A3 80286GAD3; LTAAAsf Affirmed; previously at AAAsf

Class B 80286GAE1; LTAAAsf Affirmed; previously at AAAsf

Class C 80286GAF8; LTAsf Affirmed; previously at Asf

Class D 80286GAG6; LTBBBsf Affirmed; previously at BBBsf

Class E 80286GAH4; LTBBsf Affirmed; previously at BBsf

KEY RATING DRIVERS

The rating actions are based on available CE and CNL performance to
date. The collateral pools continue to perform within Fitch's
expectations, and hard CE is building for the notes. The securities
are able to withstand stress scenarios consistent with or higher
than their current ratings, and make full payments to investors in
accordance with the terms of the documents. The Stable Outlooks
reflect Fitch's expectation that the classes have sufficient levels
of credit protection to withstand potential deterioration in the
portfolios' credit quality in stress scenarios, and loss coverage
will continue to increase as the transaction amortizes. The
Positive Outlooks on the subordinate notes reflect the possibility
of an upgrade in the next one to two years as a result of building
CE.

As of the July 2020 collection period, 61+ day delinquencies were
3.28%, 2.85%, 2.82%, 2.50%, 2.28%, 2.29%, 2.25%, 2.03% and 1.84% of
the remaining collateral balance for 2016-2, 2016-3, 2017-2,
2017-3, 2018-1, 2018-2, 2018-5, 2019-1 and 2019-2, respectively,
and CNL were 12.46%, 10.84%, 10.22%, 8.87%, 7.97%, 7.53%, 6.60%,
5.09%, and 3.90%, tracking below Fitch's initial base cases of 17%
(2016-2, 2016-3, 2017-2, 2018-5, 2019-1, 2019-2), 17.05% (2017-3),
16.50% (2018-1), and 16.60% (2018-2). Further, hard CE has grown
for all transactions from close.

Fitch made assumptions about the spread of coronavirus and the
economic impact of the related containment measures. As a base case
scenario, Fitch assumed a global recession in 1H20 driven by sharp
economic contractions in major economies, with a rapid spike in
unemployment, followed by a recovery that begins in 3Q20 as the
health crisis subsides. As a downside sensitivity scenario provided
in the Rating Sensitivities section, Fitch considers a more severe
and prolonged period of stress with a meaningful recovery delayed
beyond 2021.

To account for potential increases in delinquencies and losses,
utilizing the base case coronavirus ratings scenario detailed,
Fitch applied conservative assumptions in deriving the updated base
case proxies. For all transactions, the base case proxy was derived
by utilizing recessionary static managed portfolio performance,
along with projections based on current performance. The base case
proxies utilized were 15.00%, 14.00%, 14.00%, 14.00%, 15.00%,
15.00%, 16.50%, 17.00%, and 18.00% for 2016-2, 2016-3, 2017-2,
2017-3, 2018-1, 2018-2, 2018-5, 2019-1 and 2019-2, respectively.
Absent the pandemic, Fitch would have maintained or revised the
proxies down given the stable performance to date and current CNL
projections. Given the current economic environment, Fitch deemed
it appropriately conservative to utilize this approach for the
transactions.

For all outstanding transactions, loss coverage multiples for the
rated notes are consistent with or in excess of 3.00x for 'AAAsf',
2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for 'BBBsf', and 1.25x for
'BBsf.' Some of the subordinate notes showed multiples slightly
short of the current ratings, which Fitch considers to be
immaterial.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CNL is 20% less than projected CNL
proxy, the ratings could be maintained or upgraded.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Conversely, unanticipated increases in the frequency of defaults
could produce default levels higher than the current projected base
case default proxies, and impact available loss coverage and
multiples levels for the transactions. Weakening asset performance
is strongly correlated to increasing levels of delinquencies and
defaults that could negatively impact CE levels. Lower loss
coverage could impact ratings and Rating Outlooks, depending on the
extent of the decline in coverage.

In Fitch's initial review, the notes were found to have some
sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss
expectation for each transaction. The 2.0x scenario was updated and
is considered Fitch's coronavirus downside rating sensitivity. For
outstanding transactions, this scenario suggests consistent ratings
for the senior notes, and a possible downgrade of one or two
categories for the subordinate notes. To date, the transactions
have strong performance with losses within Fitch's initial
expectations with adequate loss coverage and multiple levels.
Therefore, a material deterioration in performance would have to
occur within the asset collateral to have potential negative impact
on the outstanding ratings.

Due to the uncertainty surrounding the coronavirus outbreak, Fitch
ran additional sensitivities to account for potential increases in
delinquencies. The transactions are able to withstand the added
stresses with loss coverage consistent with or in excess of the
ratings in their respective notes. Fitch acknowledges that lower
prepayments and longer recovery lag times due to delayed ability to
repossess and recover on vehicles may result from the pandemic.
However, changes in these assumptions, all else equal, would not
have an adverse impact on modeled loss coverage and Fitch has
maintained its stressed assumptions.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


SDART 2020-3: Moody's Assigns (P)B2 Rating on Class E Notes
-----------------------------------------------------------
Moody's Investors Service assigned provisional ratings to the notes
to be issued by Santander Drive Auto Receivables Trust (SDART)
2020-3 (SDART 2020-3). This is the third SDART auto loan
transaction of the year for Santander Consumer USA Inc. (SC;
unrated). The notes will be backed by a pool of retail automobile
loan contracts originated by SC, who is also the servicer and
administrator for the transaction

The complete rating actions are as follows:

Issuer: Santander Drive Auto Receivables Trust 2020-3

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2-A Notes, Assigned (P)Aaa (sf)

Class A-2-B Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa1 (sf)

Class C Notes, Assigned (P)Aa2 (sf)

Class D Notes, Assigned (P)Baa2 (sf)

Class E Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, and the experience and expertise of SC as the servicer.

Moody's median cumulative net loss expectation for SDART 2020-3 is
18.0% and loss at a Aaa stress is 47.0%, unchanged from SDART
2020-2, the last transaction Moody's rated. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of SC to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class
D notes and Class E notes are expected to benefit from 53.25%,
43.60%, 29.00%, 16.75% and 9.75% of hard credit enhancement,
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account and subordination. The notes may also benefit from excess
spread.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
consumer assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. Specifically, for auto
loan ABS, loan performance will weaken due to the unprecedented
spike in the unemployment rate that may limit the borrower's income
and their ability to service debt. The softening of used vehicle
prices due to lower demand will reduce recoveries on defaulted auto
loans, also a credit negative. Furthermore, borrower assistance
programs to affected borrowers, such as extensions, may adversely
impact scheduled cash flows to bondholders. As a result, the degree
of uncertainty around its forecasts is unusually high. Moody's
regards the coronavirus outbreak as a social risk under its ESG
framework, given the substantial implications for public health and
safety.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
July 2020.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the subordinate notes if, given current
expectations of portfolio losses, levels of credit enhancement are
consistent with higher ratings. In sequential pay structures, such
as the one in this transaction, credit enhancement grows as a
percentage of the collateral balance as collections pay down senior
notes. Prepayments and interest collections directed toward note
principal payments will accelerate this build of enhancement.
Moody's expectation of pool losses could decline as a result of a
lower number of obligor defaults or appreciation in the value of
the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market, the market for
used vehicles, and changes in servicing practices.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud. Additionally, Moody's
could downgrade the Class A-1 short-term rating following a
significant slowdown in principal collections that could result
from, among other things, high delinquencies, high usage of
borrower relief programs or a servicer disruption that impacts
obligor's payments.


SHACKLETON 2014-V-R: Moody's Lowers Rating on Class F Notes to Caa2
-------------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Shackleton 2014-V-R CLO, Ltd.:

US$31,250,000 Class E Junior Deferrable Floating Rate Notes Due
2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$9,500,000 Class F Junior Deferrable Floating Rate Notes Due 2031
(the "Class F Notes"), Downgraded to Caa2 (sf); previously on April
17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class E Notes and Class F Notes are referred to herein,
collectively, as the "Downgraded Notes."

Moody's also confirmed the rating on the following notes:

US$33,500,000 Class D Mezzanine Deferrable Floating Rate Notes Due
2031 (the "Class D Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

The Class D Notes are referred to herein as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class D, Class E, and Class F Notes. The CLO,
issued in May 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in April 2023.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3354 compared to 2886 reported
in the February 2020 trustee report [2]. Moody's also noted that
the WARF was failing the test level of 2906 reported in the July
2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.75%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $574.8
million, or $17.8 million less than the deal's ramp-up target par
balance. Nevertheless, according to the July 2020 trustee report
[4], Moody's noted that the OC tests for the Class D and Class E
Notes were recently reported as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $570,823,773

Defaulted Securities: $12,860,367

Diversity Score: 75

Weighted Average Rating Factor (WARF): 3281

Weighted Average Life (WAL): 5.61 years

Weighted Average Spread (WAS): 3.36%

Weighted Average Recovery Rate (WARR): 48.11%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


SOUND POINT XVIII: Moody's Confirms Ba3 Rating on Class D Notes
---------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Sound Point CLO XVIII, Ltd.:

US$48,000,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$32,000,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and the Class D Notes issued by the
CLO. The CLO originally issued in January 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end on January 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3061, compared to 2629
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2917 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
16.85%. Nevertheless, Moody's noted that all the OC tests as well
as the interest diversion test were recently reported [4] as
passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $777,517,477

Defaulted Securities: $3,919,598

Diversity Score: 82

Weighted Average Rating Factor (WARF): 3121

Weighted Average Life (WAL): 5.88 years

Weighted Average Spread (WAS): 3.62%

Weighted Average Recovery Rate (WARR): 47.31%

Par haircut in OC tests and interest diversion test: 0.0197%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


STRATUS CLO 2020-2: S&P Assigns BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Stratus CLO 2020-2
Ltd./Stratus CLO 2020-2 LLC's floating- and fixed-rate notes.

The note issuance is a CLO securitization backed primarily by
broadly syndicated speculative-grade (rated 'BB+' and lower) senior
secured term loans that are governed by collateral quality tests.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  RATINGS ASSIGNED

  Stratus CLO 2020-2 Ltd./Stratus CLO 2020-2 LLC

  Class                Rating      Amount (mil. $)
  X                    AAA (sf)               2.00
  A                    AAA (sf)             193.50
  B-1                  AA (sf)               28.25
  B-2                  AA (sf)                7.00
  C (deferrable)       A (sf)                17.25
  D (deferrable)       BBB- (sf)             16.50
  E (deferrable)       BB- (sf)              10.50
  Subordinated notes   NR                    24.15

  NR--Not rated.



STRUCTURED AGENCY 2014-DN2: Fitch Cuts Ratings on 4 Tranches to Bsf
-------------------------------------------------------------------
Fitch Ratings has taken various rating actions on 57 total classes
and related exchangeable notes from 15 GSE Credit Risk Transfer
(CRT) transactions issued between 2013 and 2015 and one private
label CRT transaction issued in 2018. Fitch has placed six classes
on Rating Watch Negative.

Rating Action Summary:

  -- one class Paid-In-Full;

  -- 18 classes Downgraded, of which six classes were placed on
Rating Watch Negative;

  -- 29 classes Affirmed;

  -- nine classes Rating Watch Maintained.

Five classes previously had a Positive or Stable Rating Outlook
that is now revised to Negative.

RATING ACTIONS

Structured Agency Credit Risk Debt Notes, Series 2014-DN2

Class M-3 3137G0AY5; LT Bsf Downgrade; previously BBBsf

Class M-3F 3137G0BD0; LT Bsf Downgrade; previously BBBsf

Class M-3I 3137G0BE8; LT Bsf Downgrade; previously BBBsf

Class MA 3137G0BG3; LT Bsf Downgrade; previously BBBsf

Connecticut Avenue Securities, Series 2015-C01

Class 1M-2 30711XAT1; LT BBsf Downgrade; previously A-sf

Class 2M-2 30711XAV6; LT AAsf Affirmed; previously AAsf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-DN3

Cl. M-3 3137G0BK4; LT A-sf Rating Watch Maintained; previously A-sf


Cl. M-3F 3137G0BQ1; LT A-sf Rating Watch Maintained; previously
A-sf

Cl. M-3I 3137G0BR9; LT A-sf Rating Watch Maintained; previously
A-sf

Cl. MA 3137G0BS7; LT A-sf Rating Watch Maintained; previously A-sf


Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQ2

Class M-12 3137G0FN4; LT AAAsf Affirmed; previously AAAsf

Class M-2 3137G0FF1; LT AAAsf Affirmed; previously AAAsf

Class M-2F 3137G0FG9; LT AAAsf Affirmed; previously AAAsf

Class M-2I 3137G0FH7; LT AAAsf Affirmed; previously AAAsf

Class M-3 3137G0FJ3; LT AAAsf Affirmed; previously AAAsf

Class M-3F 3137G0FK0; LT AAAsf Affirmed; previously AAAsf

Class M-3I 3137G0FL8; LT AAAsf Affirmed; previously AAAsf

Class MA 3137G0FP9; LT AAAsf Affirmed; previously AAAsf

Connecticut Avenue Securities Series 2014-C02

Class 1M-2 30711XAF1; LT BBsf Downgrade; previously A-sf

Class 2M-2 30711XAH7; LT AA+sf Rating Watch Maintained; previously
AA+sf

L Street Securities, Series 2017-PM1

Class M-1 693458AC5; LT PIFsf Paid in Full; previously BBBsf

Class M-2 693458AD3; LT CCCsf Downgrade; previously Bsf

Class M-2A 693458AH4; LT BBB-sf Affirmed; previously BBB-sf

Class M-2B 693458AJ0; LT CCCsf Downgrade; previously BBsf

Class M-2C 693458AK7; LT CCCsf Downgrade; previously Bsf

Fannie Mae Connecticut Avenue Securities Series 2014-C01

Class M-2 30711XAD6; LT BBBsf Downgrade; previously A+sf

Connecticut Avenue Securities 2015-C03

Class 1M-2 30711XBB9; LT Bsf Downgrade; previously BBB-sf

Class 2M-2 30711XBD5; LT A+sf Affirmed; previously A+sf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ1

Class M-3 3137G0BW8; LT AA+sf Affirmed; previously AA+sf

Class M-3F 3137G0CB3; LT AA+sf Affirmed; previously AA+sf

Class M-3I 3137G0CC1; LT AA+sf Affirmed; previously AA+sf

Class MA 3137G0CD9; LT AA+sf Affirmed; previously AA+sf

Structured Agency Credit Risk (STACR) Debt Notes, Series 2014-HQ2

Class M-12 3137G0CR8; LT AAAsf Affirmed; previously AAAsf

Class M-2 3137G0CG2; LT AAAsf Affirmed; previously AAAsf

Class M-2F 3137G0CL1; LT AAAsf Affirmed; previously AAAsf

Class M-2I 3137G0CM9; LT AAAsf Affirmed; previously AAAsf

Class M-3 3137G0CH0; LT AAsf Affirmed; previously AAsf

Class M-3F 3137G0CN7; LT AAsf Affirmed; previously AAsf

Class M-3I 3137G0CP2; LT AAsf Affirmed; previously AAsf

Class MA 3137G0CQ0; LT AAsf Affirmed; previously AAsf

Structured Agency Credit Risk Debt Notes, Series 2013-DN2

Class M-2 3137G0AD1; LT Bsf Downgrade; previously BBBsf

Class M-2F 3137G0AG4; LT Bsf Downgrade; previously BBBsf

Class M-2I 3137G0AH2; LT Bsf Downgrade; previously BBBsf

Class MA 3137G0AJ8; LT Bsf Downgrade; previously BBBsf

Structured Agency Credit Risk Debt Notes, Series 2014-HQ3

Class M-3 3137G0DF3; LT AA+sf Affirmed; previously AA+sf

Class M-3F 3137G0DL0; LT AA+sf Affirmed; previously AA+sf

Class M-3I 3137G0DM8; LT AA+sf Affirmed; previously AA+sf

Class MA 3137G0DN6; LT AA+sf Affirmed; previously AA+sf

Connecticut Avenue Securities, Series 2013-C01

Class M-2 30711XAB0; LT BBBsf Downgrade; previously AAsf

Structured Agency Credit Risk Debt Notes, Series 2014-DN4

Class M-3 3137G0CU1; LT Asf Rating Watch Maintained; previously Asf


Class M-3F 3137G0CZ0; LT Asf Rating Watch Maintained; previously
Asf

Class M-3I 3137G0DA4; LT Asf Rating Watch Maintained; previously
Asf

Class MA 3137G0DB2; LT Asf Rating Watch Maintained; previously Asf


Connecticut Avenue Securities, 2014-C03

Class 1M-2 30711XAK0; LT Bsf Downgrade; previously A-sf

Class 2M-2 30711XAM6; LT AAsf Affirmed; previously AAsf

Connecticut Avenue Securities Series 2015-C02

Class 1M-2 30711XAX2; LT Bsf Downgrade; previously BBB-sf

Class 2M-2 30711XAZ7; LT AA-sf Affirmed; previously AA-sf

KEY RATING DRIVERS

The transactions reviewed include eight Fannie Mae Connecticut
Avenue Securities (CAS) transactions, seven Freddie Mac Structured
Agency Credit Risk (STACR) transactions, and one PennyMac Credit
Risk Transfer transaction. Payments on the notes are subject to the
credit and principal payment risk of reference pools of certain
prime agency residential mortgage loans held in various guaranteed
MBS. All the transactions included in this review follow a set
fixed severity schedule for loans that experience a credit event,
such as a loan 180 days or more delinquent. The loss severity (LS)
applied is predetermined and based on the percentage of loans in
the reference pool that have already been marked as credit events.
Both Fannie Mae and Freddie Mac transitioned from issuing a fixed
LS schedule to an actual loss in 2015.

Borrowers on a forbearance plan are counted as delinquent until the
missed payments are fully repaid or borrowers resume the monthly
payment with the missed payments deferred as part of the resolution
strategies announced by Fannie Mae and Freddie Mac. Under the
Coronavirus Aid, Relief, and Economic Security (Cares) Act,
borrowers experiencing hardship due to the coronavirus pandemic may
request a forbearance term of up to 180 days with an option to
extend for an additional 180 days. The downgrade actions reflect
bonds "at risk" of default due to the large increase of loans
rolling delinquent and limited credit enhancement (CE) to protect
bond from incurring losses.

Later STACR fixed severity transactions STACR 2014-DN3, STACR
2014-DN4, STACR 2014-HQ1, STACR 2014-HQ2, STACR 2014-HQ3, and STACR
2015-HQ2 contain provisions for loans on a forbearance plan as a
result of natural disasters including the coronavirus. Affected
borrowers have 18 months to bring a loan current before the loan is
recognized as a credit event. Bonds in these transactions were all
affirmed, and their Outlooks were unchanged.

Four CAS (CAS 2013-C01, CAS 2014-C01, CAS 2014-C02, and CAS
2014-C03) and two STACR (STACR 2013-DN2 and STACR 2014-DN2) fixed
severity transactions in this review do not contain language
addressing the treatment of loans in forbearance as a result of the
coronavirus or any natural disasters or casualty events. As a
result, loans to borrowers that are on a forbearance plan due to
the coronavirus pandemic will be recognized as a credit event once
they are 180 days delinquent and cause write downs to the bonds.

For CAS 2015-C01, CAS 2015-C02, and CAS 2015-C03, and L Street
Securities 2017-PM1 fixed severity transactions, a reference
obligation that was in a forbearance period due to a casualty event
at the time it became a credit event reference obligation will
become a reversed credit event reference obligation if the
reference obligation has a payment status reported as current at
the conclusion of its forbearance period (or up to three months
thereafter if necessary). Bonds are at risk of permanent interest
loss since the interest paid will be calculated off of the written
down bond balance until the reference pool and bonds are written
back up if a reversal credit even does occur. Due to the
uncertainty in the timing and amount of potential credit event
reversals, treatment is not differentiated from earlier CAS deals
without any casualty event language.

For the 10 aforementioned deals, the assumed risk of the bond
incurring a loss was based on the assumption that the entire
current delinquency pipeline (30 days delinquent or more) goes
180-days delinquent and become credit events. Default risk is
deemed low, the ratings capped at 'BBBsf', if the current
delinquency pipeline may increase by another 50bps-100bps before
eroding current CE and causing bond writedowns. Default risk is
deemed low but elevated and the ratings capped at 'BBsf', if the
future delinquency cushion is between 1bps-50bps before eroding CE
and causing bond writedowns. For deals that would require the
delinquency pipeline to cure by 1bps-100bps to prevent bond losses,
the ratings are capped at 'Bsf'. Default is a real possibility and
the ratings capped at 'CCCsf' for those deals requiring the current
delinquency pipeline to cure by over 100bps. Tranches are placed on
Negative Watch to reflect elevated sensitivity to delinquency
rates.

RATING SENSITIVITIES

Fitch's analysis includes rating stress scenarios from 'CCCsf' to
'AAAsf'. The 'CCCsf' scenario is intended to be the most-likely
base-case scenario. Rating scenarios above 'CCCsf' are increasingly
more stressful and less likely to occur. Given the current economic
environment, Fitch applied adjustments to its Economic Risk Factor
(ERF) variable in its loss model as well as minimum delinquency
assumptions. These adjustments are the main rating drivers in the
context of this review.

Factors that could, individually or collectively, lead to a
negative rating action/downgrade:

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to a worsening economic environment above
what Fitch is currently assuming. Assuming a higher ERF value above
the current floor would result in additional downgrades at the
Non-Investment Grade ratings as well as potential downgrades to
'BBBsf'-rated classes if the floor was raised to 2.5 and potential
downgrades at 'Asf'-rated classes if the floor was raised to 3.0.
Further, a higher percentage of forbearance would lead to more
downgrades at 'AAAsf'- and 'AAsf'-rated classes due to a higher
risk of temporary interest shortfalls.

Factors that could, individually or collectively, lead to a
positive rating action/upgrade:

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to a more benign economic environment than
what is currently assumed. If the ERF floor was lowered to 1.5, the
'BBsf' classes currently impacted would likely be unaffected and if
the floor was lowered to 1.0, the 'Bsf' floors would likely be
unaffected as well. A decline in the percentage of borrowers with
principal forbearance would result in less negative pressure among
'AAAsf'- and 'AAsf'-rated classes as the chance of temporary
disruptions would be reduced.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

Additionally, because of the counterparty dependence on Fannie Mae
and Freddie Mac, Fitch's rating on the notes could be affected by
the Issuer Default Rating (IDR) of the GSEs if the IDR was to fall
below the credit rating implied by the relationship of CE to
expected reference mortgage pool loss.

SANTANDER DRIVE 2018-5: Fitch Affirms BBsf Rating on Cl. E1 Notes
-----------------------------------------------------------------

Fitch Takes Various Actions on Santander Drive Auto Receivables
Trust Transactions
Thu 10 Sep, 2020 - 3:35 PM ET
Fitch Ratings - New York - 10 Sep 2020:

Fitch Ratings has taken various actions on outstanding classes in
Santander Drive Auto Receivables Trusts (SDART) 2016-2, 2016-3,
2017-2, 2017-3, 2018-1, 2018-2, 2018-5, 2019-1, and 2019-2, and
revised the Rating Outlooks on subordinate notes to Positive from
Stable, and on senior notes to Stable from Positive. The market
disruption due to the coronavirus pandemic and related containment
measures did not negatively affect the ratings, because there is
sufficient credit enhancement (CE) to cover higher cumulative net
losses (CNL) projected after more severe assumptions were applied.
The sensitivity of the ratings to scenarios more severe than
currently expected is provided in the Rating Sensitivities
section.

RATING ACTIONS

Santander Drive Auto Receivables Trust 2016-2

Class D 80285CAJ0; LT AAAsf Upgrade; previously at AAsf

Class E 80285CAA9; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2016-3

Class D 80284RAG4; LT AAAsf Upgrade; previously at AAsf

Class E 80284RAH2; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2017-2

Class C 80285LAE1; LT AAAsf Affirmed; previously at AAAsf

Class D 80285LAF8; LT AAAsf Upgrade; previously at AAsf

Class E 80285LAG6; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2017-3

Class C 80284YAF1; LT AAAsf Affirmed; previously at AAAsf

Class D 80284YAG9; LT Asf Affirmed; previously at Asf

Class E 80284YAH7; LT BBBsf Affirmed; previously at BBBsf

Santander Drive Auto Receivables Trust 2018-1

Class C 80285TAF1; LT AAAsf Upgrade; previously at AAsf

Class D 80285TAG9; LT Asf Affirmed; previously at Asf

Class E 80285TAH7; LT BBsf Affirmed; previously at BBsf

Santander Drive Auto Receivables Trust 2018-2

Class C 80285FAF1; LT AAAsf Upgrade; previously at AAsf

Class D 80285FAG9; LT Asf Affirmed; previously at Asf

Class E 80285FAH7; LT BBsf Affirmed; previously at BBsf

Santander Drive Auto Receivables Trust 2018-5

Class B1 80286AAE4; LT AAAsf Affirmed; previously at AAAsf

Class C1 80286AAF1; LT AAAsf Upgrade; previously at AAsf

Class D1 80286AAG9; LT BBBsf Affirmed; previously at BBBsf

Class E1 80286AAH7; LT BBsf Affirmed; previously at BBsf

SDART 2019-1

Class A-3 80285HAD2; LT AAAsf Affirmed; previously at AAAsf

Class B 80285HAE0; LT AAAsf Affirmed; previously at AAAsf

Class C 80285HAF7; LT AAsf Upgrade; previously at Asf

Class D 80285HAG5; LT BBBsf Affirmed; previously at BBBsf

Class E 80285HAH3; LT BBsf Affirmed; previously at BBsf

Santander Drive Auto Receivables Trust 2019-2

Class A3 80286GAD3; LTAAAsf Affirmed; previously at AAAsf

Class B 80286GAE1; LTAAAsf Affirmed; previously at AAAsf

Class C 80286GAF8; LTAsf Affirmed; previously at Asf

Class D 80286GAG6; LTBBBsf Affirmed; previously at BBBsf

Class E 80286GAH4; LTBBsf Affirmed; previously at BBsf

KEY RATING DRIVERS

The rating actions are based on available CE and CNL performance to
date. The collateral pools continue to perform within Fitch's
expectations, and hard CE is building for the notes. The securities
are able to withstand stress scenarios consistent with or higher
than their current ratings, and make full payments to investors in
accordance with the terms of the documents. The Stable Outlooks
reflect Fitch's expectation that the classes have sufficient levels
of credit protection to withstand potential deterioration in the
portfolios' credit quality in stress scenarios, and loss coverage
will continue to increase as the transaction amortizes. The
Positive Outlooks on the subordinate notes reflect the possibility
of an upgrade in the next one to two years as a result of building
CE.

As of the July 2020 collection period, 61+ day delinquencies were
3.28%, 2.85%, 2.82%, 2.50%, 2.28%, 2.29%, 2.25%, 2.03% and 1.84% of
the remaining collateral balance for 2016-2, 2016-3, 2017-2,
2017-3, 2018-1, 2018-2, 2018-5, 2019-1 and 2019-2, respectively,
and CNL were 12.46%, 10.84%, 10.22%, 8.87%, 7.97%, 7.53%, 6.60%,
5.09%, and 3.90%, tracking below Fitch's initial base cases of 17%
(2016-2, 2016-3, 2017-2, 2018-5, 2019-1, 2019-2), 17.05% (2017-3),
16.50% (2018-1), and 16.60% (2018-2). Further, hard CE has grown
for all transactions from close.

Fitch made assumptions about the spread of coronavirus and the
economic impact of the related containment measures. As a base case
scenario, Fitch assumed a global recession in 1H20 driven by sharp
economic contractions in major economies, with a rapid spike in
unemployment, followed by a recovery that begins in 3Q20 as the
health crisis subsides. As a downside sensitivity scenario provided
in the Rating Sensitivities section, Fitch considers a more severe
and prolonged period of stress with a meaningful recovery delayed
beyond 2021.

To account for potential increases in delinquencies and losses,
utilizing the base case coronavirus ratings scenario detailed,
Fitch applied conservative assumptions in deriving the updated base
case proxies. For all transactions, the base case proxy was derived
by utilizing recessionary static managed portfolio performance,
along with projections based on current performance. The base case
proxies utilized were 15.00%, 14.00%, 14.00%, 14.00%, 15.00%,
15.00%, 16.50%, 17.00%, and 18.00% for 2016-2, 2016-3, 2017-2,
2017-3, 2018-1, 2018-2, 2018-5, 2019-1 and 2019-2, respectively.
Absent the pandemic, Fitch would have maintained or revised the
proxies down given the stable performance to date and current CNL
projections. Given the current economic environment, Fitch deemed
it appropriately conservative to utilize this approach for the
transactions.

For all outstanding transactions, loss coverage multiples for the
rated notes are consistent with or in excess of 3.00x for 'AAAsf',
2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for 'BBBsf', and 1.25x for
'BBsf.' Some of the subordinate notes showed multiples slightly
short of the current ratings, which Fitch considers to be
immaterial.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If CNL is 20% less than projected CNL
proxy, the ratings could be maintained or upgraded.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Conversely, unanticipated increases in the frequency of defaults
could produce default levels higher than the current projected base
case default proxies, and impact available loss coverage and
multiples levels for the transactions. Weakening asset performance
is strongly correlated to increasing levels of delinquencies and
defaults that could negatively impact CE levels. Lower loss
coverage could impact ratings and Rating Outlooks, depending on the
extent of the decline in coverage.

In Fitch's initial review, the notes were found to have some
sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss
expectation for each transaction. The 2.0x scenario was updated and
is considered Fitch's coronavirus downside rating sensitivity. For
outstanding transactions, this scenario suggests consistent ratings
for the senior notes, and a possible downgrade of one or two
categories for the subordinate notes. To date, the transactions
have strong performance with losses within Fitch's initial
expectations with adequate loss coverage and multiple levels.
Therefore, a material deterioration in performance would have to
occur within the asset collateral to have potential negative impact
on the outstanding ratings.

Due to the uncertainty surrounding the coronavirus outbreak, Fitch
ran additional sensitivities to account for potential increases in
delinquencies. The transactions are able to withstand the added
stresses with loss coverage consistent with or in excess of the
ratings in their respective notes. Fitch acknowledges that lower
prepayments and longer recovery lag times due to delayed ability to
repossess and recover on vehicles may result from the pandemic.
However, changes in these assumptions, all else equal, would not
have an adverse impact on modeled loss coverage and Fitch has
maintained its stressed assumptions.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


SYMPHONY CLO XV: Moody's Lowers Rating on Class F-R2 Notes to Caa2
------------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Symphony CLO XV, Ltd.:

US$25,500,000 Class E-R2 Deferrable Mezzanine Floating Rate Notes
due 2032 (the "Class E-R2 Notes"), Downgraded to B1 (sf);
previously on April 17, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

US$12,000,000 Class F-R2 Deferrable Mezzanine Floating Rate Notes
due 2032 (the "Class F-R2 Notes"), Downgraded to Caa2 (sf);
previously on April 17, 2020 B3 (sf) Placed Under Review for
Possible Downgrade

The Class E-R2 Notes and the Class F-R2 Notes are referred to
herein, collectively, as the "Downgraded Notes."

This action concludes the review for downgrade initiated on April
17, 2020 on the Class E-R2 and the Class F-R2 Notes issued by the
CLO. The CLO, originally issued in November 2014 and refinanced on
December 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end on January 2024.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased
and the credit enhancement available to the CLO notes has
declined.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3278, compared to 2805
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2785 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
17.0%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $587.7
million, or $12.3 million lower since the last refinancing in
December 2018. Moody's noted that the OC tests as well as the
interest diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $580,264,515

Defaulted Securities: $19,264,696

Diversity Score: 76

Weighted Average Rating Factor (WARF): 3279

Weighted Average Life (WAL): 5.75 years

Weighted Average Spread (WAS): 3.39%

Weighted Average Recovery Rate (WARR): 47.77%

Par haircut in OC tests and interest diversion test: 0.9%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


VENTURE 36: Moody's Confirms Ba3 Rating on Class E Notes
--------------------------------------------------------
Moody's Investors Service has confirmed the ratings on the
following notes issued by Venture 36 CLO Limited:

US$31,350,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Confirmed at Baa3 (sf);
previously on April 17, 2020 Baa3 (sf) Placed Under Review for
Possible Downgrade

US$33,550,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D Notes and Class E Notes issued by the CLO.
The CLO, originally issued in April 2019, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in April 2024.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3014, compared to 2714
reported in the February 2020 trustee report [2]. Based on Moody's
calculation, the proportion of obligors in the portfolio with
Moody's corporate family or other equivalent ratings of Caa1 or
lower (adjusted for negative outlook or watchlist for downgrade)
was approximately 17.36%. Nevertheless, Moody's noted that the OC
tests for the Class D Notes and the Class E Notes, as well as the
interest diversion test were recently reported [3] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $541,075,343

Defaulted Securities: $4,033,193

Diversity Score: 101

Weighted Average Rating Factor (WARF): 3093

Weighted Average Life (WAL): 6.02 years

Weighted Average Spread (WAS): 3.92%

Weighted Average Recovery Rate (WARR): 47.1%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


VENTURE XVII: Moody's Lowers Rating on Class F-RR Notes to Caa1
---------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by Venture XVII CLO, Limited:

US$8,500,000 Class F-RR Junior Secured Deferrable Floating Rate
Notes due 2027 (current outstanding balance of $8,895,322) (the
"Class F-RR Notes"), Downgraded to Caa1 (sf); previously on June 3,
2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class F-RR Notes are referred to herein as the "Downgraded
Notes."

Moody's also confirmed the ratings on the following notes:

US$37,500,000 Class D-RR Mezzanine Secured Deferrable Floating Rate
Notes due 2027 (the "Class D-RR Notes"), Confirmed at Baa2 (sf);
previously on June 3, 2020 Baa2 (sf) Placed Under Review for
Possible Downgrade

US$33,000,000 Class E-RR Junior Secured Deferrable Floating Rate
Notes due 2027 (the "Class E-RR Notes"), Confirmed at Ba3 (sf);
previously on June 3, 2020 Ba3 (sf) Placed Under Review for
Possible Downgrade

The Class D-RR and Class E-RR Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on June
3, 2020 on the Class D-RR Notes, Class E-RR Notes, and Class F-RR
Notes issued by the CLO. The CLO, originally issued in May 2014,
partially refinanced in July 2017, and refinanced in April 2018 is
a managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in April 2020.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3062 compared to 2765
reported in the March 2020 trustee report [2]. Based on Moody's
calculation, the proportion of obligors in the portfolio with
Moody's corporate family or other equivalent ratings of Caa1 or
lower (adjusted for negative outlook or watchlist for downgrade)
was approximately 17.99%. Moody's noted that the OC test for the
Class E was recently reported as failing [3], and that on the July
2020 payment date, the senior notes were repaid and the current
interest payments on the Class F-RR Notes had been deferred [4].

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $633,493,554

Defaulted Securities: $28,551,471

Diversity Score: 107

Weighted Average Rating Factor (WARF): 3158

Weighted Average Life (WAL): 4.62 years

Weighted Average Spread (WAS): 3.66%

Weighted Average Recovery Rate (WARR): 47.06%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


VIBRANT CLO VI: Moody's Lowers Rating on Class E Notes to B1
------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Vibrant CLO VI, LTD:

US$27,500,000 Class D Secured Deferrable Floating Rate Notes due
2029 (the "Class D Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$25,000,000 Class E Secured Deferrable Floating Rate Notes due
2029 (the "Class E Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class D Notes and the Class E Notes are referred to herein,
collectively, as the "Downgraded Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D Notes and the Class E Notes issued by the
CLO. The CLO, issued in June 2017, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in September 2021.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3167, compared to 2832
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2956 reported in
the August 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
15.9%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $486.4
million, or $13.6 million less than the deal's ramp-up target par
balance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $482,794,213

Defaulted Securities: $6,617,934

Diversity Score: 67

Weighted Average Rating Factor (WARF): 3283

Weighted Average Life (WAL): 5.1 years

Weighted Average Spread (WAS): 3.59%

Weighted Average Recovery Rate (WARR): 47.2%

Par haircut in OC tests and interest diversion test: 0.6%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Our analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around our forecasts is unusually high.

We regard the coronavirus outbreak as a social risk under our ESG
framework, given the substantial implications for public health and
safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


VIBRANT CLO VIII: Moody's Confirms Ba3 Rating on Class D Notes
--------------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Vibrant CLO VIII, Ltd.:

US$35,750,000 Class C Secured Deferrable Floating Rate Notes due
2031 (the "Class C Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$24,750,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes and the Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C Notes and the Class D Notes issued by the
CLO. The CLO, issued in March 2018, is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period will end in January 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3163, compared to 2806
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2968 reported in
the August 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
15.7%. Nevertheless, Moody's noted that all the OC tests and the
interest diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $532,537,461

Defaulted Securities: $4,514,237

Diversity Score: 68

Weighted Average Rating Factor (WARF): 3276

Weighted Average Life (WAL): 5.7 years

Weighted Average Spread (WAS): 3.58%

Weighted Average Recovery Rate (WARR): 47.1%

Par haircut in OC tests and interest diversion test: 0.4%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that would lead to an upgrade or downgrade of the ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


VIBRANT CLO X: Moody's Confirms Ba3 Rating on Class D Notes
-----------------------------------------------------------
Moody's Investors Service confirmed the ratings on the following
notes issued by Vibrant CLO X, Ltd.:

US$30,000,000 Class C Secured Deferrable Floating Rate Notes due
2031 (the "Class C Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$25,000,000 Class D Secured Deferrable Floating Rate Notes due
2031 (the "Class D Notes"), Confirmed at Ba3 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class C Notes and Class D Notes are referred to herein,
collectively, as the "Confirmed Notes."

These actions conclude the review for downgrade initiated on April
17, 2020 on the Class C and Class D Notes. The CLO, issued in
September 2018, is a managed cashflow CLO. The notes are
collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period will end in September 2023.

RATINGS RATIONALE

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Confirmed Notes continue to be consistent with the notes'
current rating after taking into account the CLO's latest
portfolio, its relevant structural features and its actual
over-collateralization (OC) levels. Consequently, Moody's has
confirmed the ratings on the Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3156 compared to 2812
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2957 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
15.97%. Nevertheless, according to the August 2020 trustee report
[4], Moody's noted that the OC tests for the Class C and Class D
Notes were recently reported as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $487,507,654

Defaulted Securities: $3,544,174

Diversity Score: 66

Weighted Average Rating Factor (WARF): 3254

Weighted Average Life (WAL): 5.72 years

Weighted Average Spread (WAS): 3.62%

Weighted Average Recovery Rate (WARR): 47.12%

Par haircut in OC tests and interest diversion test: 0.32%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


VOYA CLO 2015-1: Moody's Lowers Rating on Cl. E-R Notes to Caa3
---------------------------------------------------------------
Moody's Investors Service downgraded the ratings on the following
notes issued by Voya CLO 2015-1, Ltd.:

US$30,250,000 Class C-R Deferrable Floating Rate Notes due 2029
(the "Class C-R Notes"), Downgraded to Ba1 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

US$26,000,000 Class D-R Deferrable Floating Rate Notes due 2029
(the "Class D-R Notes"), Downgraded to B1 (sf); previously on April
17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

US$13,000,000 Class E-R Deferrable Floating Rate Notes due 2029
(the "Class E-R Notes"), Downgraded to Caa3 (sf); previously on
April 17, 2020 B3 (sf) Placed Under Review for Possible Downgrade

The Class C-R, Class D-R, and Class E-R Notes, collectively, are
referred to herein as the "Downgraded Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Downgraded Notes issued by the CLO. The CLO,
originally issued in April 2015 and refinanced in December 2017, is
a managed cashflow CLO. The notes are collateralized primarily by a
portfolio of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in January 2021.

RATINGS RATIONALE

The downgrades on the Downgraded Notes reflect the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased.

According to the July 2020 trustee report [1], the weighted average
rating factor (WARF) was reported at 3184, compared to 2816
reported in the February 2020 trustee report [2]. Moody's also
noted that the WARF was failing the test level of 2922 reported in
the July 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
15.2%. Furthermore, Moody's calculated the total collateral par
balance, including recoveries from defaulted securities, at $577.6
million, or $19.4 million less than the deal's ramp-up target par
balance.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $571,964,532

Defaulted Securities: $11,674,325

Diversity Score: 90

Weighted Average Rating Factor (WARF): 3168

Weighted Average Life (WAL): 5.8 years

Weighted Average Spread (WAS): 3.2%

Weighted Average Recovery Rate (WARR): 48.1%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


WELLS FARGO 2012-C7: Fitch Lowers Rating on Class G Certs to CCsf
-----------------------------------------------------------------
Fitch Ratings has downgraded six classes, revised the outlook on
two classes and affirmed six classes of Wells Fargo Bank, N.A.'s
WFRBS 2012-C7 commercial mortgage pass-through certificates.

RATING ACTIONS

WFRBS 2012-C7

Class A-1 92936TAA0; LT AAAsf Affirmed; previously at AAAsf

Class A-2 92936TAB8; LT AAAsf Affirmed; previously at AAAsf

Class A-FL 92936TAH5; LT AAAsf Affirmed; previously at AAAsf

Class A-FX 92936TAZ5; LT AAAsf Affirmed; previously at AAAsf

Class A-S 92936TAC6; LT AAAsf Affirmed; previously at AAAsf

Class B 92936TAD4; LT Asf Downgrade; previously at AAsf

Class C 92936TAE2; LT BBBsf Downgrade; previously at Asf

Class D 92936TAJ1; LT Bsf Downgrade; previously at BBB+sf

Class E 92936TAK8; LT B-sf Downgrade; previously at BBB-sf

Class F 92936TAL6; LT CCCsf Downgrade; previously at BBsf

Class G 92936TAM4; LT CCsf Downgrade; previously at CCCsf

Class X-A 92936TAF9; LT AAAsf Affirmed; previously at AAAsf

KEY RATING DRIVERS

Increased Loss Expectations/Specially Serviced Loans: Five loans
(28.3% of the pool) have transferred to special servicing related
to hardships caused by the ongoing coronavirus pandemic; due to the
recent transfers, updated appraisals were not available. The
largest specially serviced loan, Town Center at Cobb (12.7% of the
pool), is secured by 559,940 sf of a 1.3 million sf regional mall
located in Kennesaw, GA. The property is anchored by a
non-collateral Macy's, JCPenney and Sears; the collateral is
anchored by Belks. Per local news reports, the Sears and JCPenney
are not on any store closing lists as of July 2020. The loan
transferred to special servicing in June 2020 and is currently over
90 days delinquent. As of the most recent rent roll, the collateral
is 86.3% occupied as of March 2020 compared to 84.1% at YE 2019,
86.5% at YE 2018, 85.5% at YE 2017 and 87.3% at YE 2016. Inline
tenant sales as of YE 2019 had improved to $400 psf compared to
$365 psf as of YE 2018, $377 psf at YE 2017 and $361 psf at YE
2016. However, the anchor tenant's sales, Belk, have steadily
declined to $70 psf as of YE 2019 from $80 psf at YE 2018, $89 psf
at YE 2017 and $108 psf at YE 2016. The loan also failed to meet
Fitch's property specific coronavirus NOI DSCR tolerance
thresholds; Fitch applied additional stresses to address expected
declines in performance. The loan also has an upcoming maturity
date in May 2022.

The second largest specially serviced loan, Florence Mall (9.8% of
the pool), is secured by 384,111 sf of a 957,443-sf regional mall
located in Florence, KY. The property is anchored by a
non-collateral JCPenney and Macy's. A non-collateral Sears closed
in November 2018. The JCPenney remains off store closure lists as
of July 2020. The collateral is anchored by a Cinemark theater. The
loan transferred to special servicing in July 2020 and is currently
over 90 days delinquent. As of March 2020, property occupancy was
81.2% as of March 2020 from 83.4% at YE 2019, 89.6% at YE 2018,
89.4% at YE 2017 and 88.3% at YE 2016. As of YE 2019, total inline
sales, excluding the Cinemark, had improved to $309 psf from $298
psf at YE 2018 and $296 psf at YE 2017. The Cinemark sales as of YE
2019 improved to $771,085 per screen compared to $634,437 per
screen at YE 2018 and $598,473 per screen at YE 2017. While the
loan meets Fitch's property specific coronavirus NOI DSCR tolerance
thresholds, Fitch applied additional stresses to address expected
declines in performance. The loan also has an upcoming maturity
date in June 2022.

The third largest specially serviced loan, Fashion Square (3.7% of
the pool), is secured by 446,288 sf of a 711,114-sf regional mall
located in Saginaw, MI. The property is anchored by a
non-collateral Macy's; a non-collateral Sears closed in 2019. The
collateral is anchored by JCPenney, which remains off of store
closure lists as of July 2020. As of June 2020, collateral
occupancy declined to 79.9% from 82.3% at YE 2019, 87.3% at YE 2018
and 88.6% at YE 2017. The declines in performance are primarily
related to multiple tenants vacating upon lease expiration or upon
filing for bankruptcy. As of the trailing twelve months ended
September 30, 2019, inline tenant sales had declined to $208 psf
from $230 psf at YE 2018, $221 psf at YE 2017 and $236 psf at YE
2016. The ten-screen movie theater, Fashion Square 10, also
reported declining sales of $63,705 per screen as of the TTM ended
September 30, 2019 from $78,092 per screen at YE 2018 and $76,233
per screen at YE 2017. The loan also failed to the meet Fitch's
property specific coronavirus NOI DSCR tolerance thresholds; Fitch
applied additional stresses to address expected declines in
performance. The loan also has an upcoming maturity date in June
2022.

The fourth largest specially serviced loan, Adagio Retail (1.2% of
the pool), is secured by a 43,224-sf retail property located in
Bethesda, MD. The loan transferred to special servicing in June
2020 due to imminent monetary default after the largest tenant,
Town Sports (82% of the NRA), vacated the property ahead of their
2023 lease expiration and failed to pay rent for the month. Per the
special servicer, the borrower is seeking legal action against the
tenant and the borrower and special servicer are workings toward a
resolution. The loan is currently over 90 days delinquent.

The last specially serviced loan, Courtyard Marriott (0.9% of the
pool), is secured by a 103-key limited service hotel located in
York, PA. The loan transferred to special servicing in April 2020
and is currently over 90 days delinquent.

Outside of the specially serviced loans, five additional loans
(11.2% of the pool) have been identified as Fitch Loans of Concern
(FLOC). The largest, Puente Hills East (6.7% of the pool), is
secured by a 401,170-sf office and retail center located in City of
Industry, CA. The property is shadow anchored by a Lowe's, Costco
and Target. The collateral is anchored by a grocery store, TS
Emporium (18.7% of the NRA). Property occupancy remained stable as
of March 2020 at 95.5% from 96.1% at YE 2019 and 96.6% at YE 2018.
However, approximately 46% of the NRA has lease expirations between
2020 and 2021, including four of the top five tenants. Fitch
requested an update from the master servicer in regards to the
upcoming rollover, but has not received a response. Additionally,
while the loan meets Fitch's coronavirus NOI DSCR tolerance
threshold; Fitch applied additional stresses to address the
upcoming rollover concerns.

Isola Bella (3.2% of the pool), is secured by a 851-unit
multifamily property located in Oklahoma City, OK. Property
occupancy had declined as of March 2020 to 43.8% from 45.8% at YE
2019 78.3% at YE 2018 and 91.4% at YE 2017. Per the master
servicer, the borrower has been renovating the vacant units prior
to leasing. Per the borrower, the extensive renovations have been
completed and an external leasing agent had been hired to
accelerate lease ups. Fitch has requested updates from the master
servicer in regards to renovations and declines in performance, but
has not received a response. The loan also failed to meet Fitch's
property specific coronavirus NOI DSCR tolerance threshold; Fitch
applied additional stresses to address expected declines in
performance.

The remaining three FLOCs each represented less than 1% of the pool
and are considered FLOCs due to either declining performance and/or
failing to meet Fitch's coronavirus NOI DSCR tolerance thresholds.

Improved Credit Enhancement: The senior classes have benefitted
from increased credit enhancement due to loan payoffs, scheduled
amortization and defeased collateral. Seventeen loans are fully
defeased (15.4% of the pool), including three loans (8.7% of the
pool) in the top 15. As of the August 2020 remittance, the pool's
aggregate principal balance has been reduced by 17.2% to $914.2
million from $1.1 billion at issuance. The pool has experienced
$5.1 million in realized losses (0.5% of the pool), which have
impacted the non-rated class H certificates. Approximately 13.5% of
the pool is full-term, interest only, including the third largest
loan, Florence Mall (9.7% of the pool). All of the partial term,
interest only loans (22.5% of the pool) are now amortizing.

Concentrated Pool with Significant Coronavirus Exposure:
Significant economic impact to certain hotels, retail and
multifamily properties is expected from the coronavirus pandemic,
due to the recent and sudden reductions in travel and tourism,
temporary property closures and lack of clarity on the potential
length of the impact. The pandemic has prompted the closure of
several hotel properties in gateway cities as well as malls,
entertainment venues and individual stores.

Six loans (7.9% of the pool) are secured by hotel loans and 18
loans (58.6% of the pool) are secured by retail properties.
Excluding the specially serviced loans, the hotel loans have a
weighted average (WA) DSCR of 3.07x. Inclusive of the specially
serviced hotel loans, the WADSCR of the hotel loans is 2.75x. On
average, the hotel loans can sustain an average decline of 61.3%
before the NOI DSCR would fall below 1.0x.

On average, excluding the specially serviced loans, the retail
loans have a WADSCR of 1.84x and would sustain a 43.9% decline in
NOI before the DSCR would fall below 1.0x; including the specially
serviced retail loans achieves similar results. Fitch applied
additional stresses to hotel, retail and multifamily loans to
account for potential cash flow disruptions due to the coronavirus
pandemic. These additional stresses contributed to the downgrades
and the Negative Outlooks.

Upcoming Maturities/Refinancing Concerns: One loan (0.7% of the
pool) matures in 2020 and two loans (15.7% of the pool) mature in
2021, including the largest loan, Northridge Fashion Center (14.7%
of the pool). The remainder of the pool has maturity dates in 2022.
Given the current economic environment, Fitch is concerned with the
refinanceability of certain loans, particularly the Town Center at
Cobb, Florence Mall and Fashion Square.

RATING SENSITIVITIES

The Negative Outlooks on classes A-S, B, C, D, E and X-A and the
downgrades of classes B, C, D, E, F and G reflects performance
concerns with the specially serviced assets/loans and FLOCs, which
are primarily secured by hotel and retail properties, given the
decline in travel and commerce as a result of the coronavirus
pandemic.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Factors that could lead to upgrades would include stable to
improved asset performance, coupled with additional paydown and/or
defeasance. Upgrades are not expected but would likely occur with
significant improvement in credit enhancement (CE) and/or
defeasance and/or the stabilization to the properties impacted from
the coronavirus pandemic. The Outlooks on classes A-S, B, C, D, E
and X-A may be revised back to Stable should the performance of the
specially serviced loans and/or FLOCs improve, improved valuations
occur, better than expected recoveries, or workout plans of the
specially serviced loans and/or properties vulnerable to the
coronavirus stabilize once the pandemic is over.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Downgrades to the senior 'AAAsf' classes may occur should the three
malls mentioned linger in special servicing, especially if they
remain the sole loans remaining in the pool. Should loss
expectations on the specially serviced loans be higher than
expected and/or performance of the FLOCs fail to stabilize/improve,
further Outlook revisions and downgrades to classes B, C, D, E, F
and G could occur.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021.
Should this scenario play out, downgrades to the senior classes
could occur and classes with Negative Outlooks could be downgraded
one or more categories.

ESG CONSIDERATIONS

WFRBS 2012-C7: Exposure to Social Impacts: 4

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity, either
due to their nature or the way in which they are being managed by
the entity.


WELLS FARGO 2015-P2: Fitch Affirms Bsf Rating on Class F Certs
--------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial
Mortgage Trust, commercial mortgage pass-through certificates
series 2015-P2 (WFCM 2015-P2).

RATING ACTIONS

WFCM 2015-P2

Class A-2A 95000AAR8; LT AAAsf Affirmed; previously at AAAsf

Class A-2B 95000AAS6; LT AAAsf Affirmed; previously at AAAsf

Class A-3 95000AAT4; LT AAAsf Affirmed; previously at AAAsf

Class A-4 95000AAU1; LT AAAsf Affirmed; previously at AAAsf

Class A-S 95000AAW7; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 95000AAV9; LT AAAsf Affirmed; previously at AAAsf

Class B 95000AAZ0; LT AA-sf Affirmed; previously at AA-sf

Class C 95000ABA4; LT A-sf Affirmed; previously at A-sf

Class D 95000AAC1; LT BBB-sf Affirmed; previously at BBB-sf

Class E 95000AAE7; LT BBsf Affirmed; previously at BBsf

Class F 95000AAG2; LT Bsf Affirmed; previously at Bsf

Class X-A 95000AAX5; LT AAAsf Affirmed; previously at AAAsf

Class X-B 95000AAY3; LT AA-sf Affirmed; previously at AA-sf

Class X-D 95000AAA5; LT BBB-sf Affirmed; previously at BBB-sf

KEY RATING DRIVERS

Relatively Stable Performance: The majority of the pool has
exhibited relatively stable performance since issuance. Loss
expectations have increased slightly due to performance
deterioration of the Fitch Loans of Concerns (FLOCs) and cash flow
disruptions to hotel and retail properties as a result of the
coronavirus pandemic. Fitch designated 18 loans (35.9% of pool) as
FLOCs, which consists of seven hotel loans (17.1%), including the
specially serviced JW Marriott Santa Monica Le Merigot loan (3.1%);
eight retail loans (15.3%), including one regional mall loan,
Empire Mall (7.7%); and three office loans outside of the top 15
(3.5%).

Fitch Loans of Concern: The largest FLOC, Empire Mall (7.7% of
pool), which is secured by a 1.02 million-sf superregional mall
located in Sioux Falls, SD, had already experienced pre-pandemic
performance declines due to the loss of collateral anchor tenants,
Sears and Younkers, in September and October 2018, respectively.
Collateral occupancy was 74.8% as of June 2020, down from 79.1% as
of March 2019 and 96.3% as of June 2018. The current third largest
collateral anchor tenant, Stage Stores (5.9% of NRA), which took
over the former Gordman's lease, filed for bankruptcy; liquidation
sales began in May 2020 and the store is expected to close at the
end of September. This will further drop collateral occupancy below
70%. In addition, the largest collateral anchor tenant, JC Penney
(13.1% of NRA), has an upcoming lease expiration in May 2021. The
servicer-reported NOI DSCR declined to 1.64x in 2019 from 2.46x in
2018 and 2.51x in 2017; the loan converted to principal and
interest payments in January 2019. Comparable in-line tenant sales
below 10,000-sf were $407 psf in 2017, compared to $423 in 2014 and
$435 in 2013; updated tenant sales reports have been requested from
the servicer, but not provided.

The one loan in special servicing, JW Marriott Santa Monica Le
Merigot (3.1%), which is secured by a six-story, 175-room,
full-service hotel located in Santa Monica, CA, transferred in May
2020 due to the borrower requesting coronavirus-related relief. The
property benefits from its strong location adjacent to the Santa
Monica Pier and high barrier to entry. Occupancy declined to 77.7%
as of TTM June 2020 from 96.5% at YE 2019 and 96.1% at YE 2018. The
loan, which was set to mature in November 2020, received a
modification that extended the maturity date for one year to
November 2021. The borrower also has an additional six-month option
that can be added onto the extended maturity date. The servicer
confirmed that the franchise agreement has been extended through
December 2021. The collateral is subject to a ground lease, with
rent increases every five years and an upcoming reset effective
date of Nov. 1, 2020.

The Columbine Place loan (1.6%), which is secured by a 149,694-sf
office property located in the central business district of Denver,
CO, has continued to underperform since issuance. The sponsor
attributed the decline to a competitive office leasing market.
Recent capital expenditures totaling $1.5 million, which included a
complete lobby renovation/enlargement and upgrades to restrooms and
lighting fixtures, improved occupancy slightly to 80% as of June
2020, but remains below the 96% at issuance. The 2700 Blankenbaker
loan (1.3%), which is secured by a 107,589-sf suburban office
property located in Louisville, KY, will lose its second largest
tenant, NPAS/Parallon (49.4% of NRA), upon its September 2020 lease
expiration. The remaining tenant, Honeywell (50.6% of NRA), has a
lease expiring in May 2022. The URS Corporate Center loan (0.5%),
which is secured by a 42,455-sf office property located in Boca
Raton, FL, lost its second largest tenant, URS Corporation (38% of
NRA), at its February 2019 lease expiration. The majority of the
space has been backfilled by Nightingale Nurses (25.1% of NRA), on
a lease through June 2027, with rent commencing February 2020. The
Baymont Inn & Suites Las Vegas loan (0.3%), which is secured by a
111-room limited-service hotel located in Las Vegas, NV, was 30
days delinquent as of the August 2020 remittance reporting. The
loan has an upcoming maturity date in November 2020; the servicer
has indicated the borrower plans to repay the loan at maturity. The
loan is low leveraged at $24,800 per key.

Increased Credit Enhancement: As of the August 2020 distribution
date, the pool's aggregate principal balance has been paid down by
5.8% to $943.8 million from $1.0 billion at issuance. Five loans
(2.4% of pool) are fully defeased. Nineteen loans (30.2%) are
full-term, interest-only, nine loans (17.4%) remain in their
partial interest-only period and the remaining 42 loans (52.4%) are
amortizing. Scheduled loan maturities include two loans in 2020
(9.6%), including the largest loan in the pool, Rolling Brook
Village (9.3%); one loan in 2021 (3.1%), one loan in 2024 (0.3%)
and 66 loans in 2025 (87%). Interest shortfalls are currently
impacting the non-rated class.

Coronavirus Exposure: Seven loans (17.1% of pool) are secured by
hotel properties. These hotel loans have a weighted average (WA)
NOI DSCR of 2.12x and can sustain a 51% decline in NOI before the
WA NOI DSCR falls below 1.0x. Twenty-seven loans (26.5%) are
secured by retail properties. These retail loans have a WA NOI DSCR
of 1.79x and can sustain a 42.3% decline in NOI before the WA NOI
DSCR falls below 1.0x. Fitch applied additional stresses to all
seven hotel loans (17.1%) and eight of the retail loans (15.3%);
these additional stresses contributed to the Negative Rating
Outlooks on classes E and F.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes E and F reflect the
potential for downgrade due to concerns surrounding the ultimate
impact of the coronavirus pandemic and the performance concerns
associated with the FLOCs. The Stable Rating Outlooks on classes
A-2A through D reflect the increasing credit enhancement, continued
amortization and stable performance of the majority of the pool.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with paydown and/or defeasance.
Upgrades of the 'Asf' and 'AAsf' categories would likely occur with
significant improvement in credit enhancement and/or defeasance;
however, adverse selection, increased concentrations and further
underperformance of the FLOCs and/or loans considered to be
negatively impacted by the coronavirus pandemic could cause this
trend to reverse. An upgrade to the 'BBBsf' category is considered
unlikely and would be limited based on sensitivity to
concentrations or the potential for future concentration. Classes
would not be upgraded above 'Asf' if there is likelihood for
interest shortfalls. Upgrades to the 'Bsf' and 'BBsf' categories
are not likely until the later years in a transaction and only if
the performance of the remaining pool is stable and/or properties
vulnerable to the coronavirus return to pre-pandemic levels, and
there is sufficient credit enhancement to the classes.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Sensitivity factors that lead to downgrades include an increase in
pool level losses from underperforming or specially serviced loans.
Downgrades of the 'Asf', 'AAsf' and 'AAAsf' categories are not
considered likely due to the position in the capital structure and
the overall stable performance of the majority of the pool, but may
occur at 'AAsf' and 'AAAsf' should interest shortfalls affect these
classes. Downgrades of the 'BBBsf' category would likely occur if
expected losses increase significantly or the performance of the
FLOCs continue to decline further and/or fail to stabilize.
Downgrades to the 'Bsf' and 'BBsf' categories, which have Negative
Outlooks, would occur should the FLOCs experience losses that
exceed expectations and/or the loans vulnerable to the coronavirus
pandemic fail to stabilize.

In addition to its baseline scenario related to the coronavirus,
Fitch also envisions a downside scenario where the health crisis is
prolonged beyond 2021; should this scenario play out, Fitch expects
further negative rating actions, including downgrades and/or
Negative Rating Outlook revisions.

ESG CONSIDERATIONS

WFCM 2015-P2: Exposure to Social Impacts: 4

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity, either
due to their nature or the way in which they are being managed by
the entity.


WELLS FARGO 2017-C41: Fitch Affirms Bsf Rating on Cl. G-RR Debt
---------------------------------------------------------------
Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial
Mortgage Trust, Series 2017-C41.

RATING ACTIONS

WFCM 2017-C41

Class A-1 95001AAZ9; LT AAAsf Affirmed; previously at AAAsf

Class A-2 95001ABA3; LT AAAsf Affirmed; previously at AAAsf

Class A-3 95001ABC9; LT AAAsf Affirmed; previously at AAAsf

Class A-4 95001ABD7; LT AAAsf Affirmed; previously at AAAsf

Class A-S 95001ABG0; LT AAAsf Affirmed; previously at AAAsf

Class A-SB 95001ABB1; LT AAAsf Affirmed; previously at AAAsf

Class B 95001ABH8; LT AA-sf Affirmed; previously at AA-sf

Class C 95001ABJ4; LT A-sf Affirmed; previously at A-sf

Class D 95001AAD8; LT BBB+sf Affirmed; previously at BBB+sf

Class E-RR 95001AAG1; LT BBB-sf Affirmed; previously at BBB-sf

Class F-RR 95001AAK2; LT BB+sf Affirmed; previously at BB+sf

Class G-RR 95001AAN6; LT Bsf Affirmed; previously at Bsf

Class X-A 95001ABE5; LT AAAsf Affirmed; previously at AAAsf

Class X-B 95001ABF2; LT AA-sf Affirmed; previously at AA-sf

Class X-D 95001AAA4; LT BBB+sf Affirmed; previously at BBB+sf

KEY RATING DRIVERS

Increased Loss Expectations: Despite a majority of the pool
exhibiting relatively stable performance, loss expectations have
increased primarily due to an increase in Fitch Loans of Concern
(FLOCs) and coronavirus-related performance concerns. Fitch
identified six loans (20%) as Fitch Loans of Concern (FLOCs),
including four (17%) loans in the top 15.

Fitch Loans of Concern: The largest loan in the pool, Headquarters
Plaza (6.47% of the deal) transferred to special servicing in June
of 2020 due to payment default. The collateral is a mixed-use
office, hotel and retail complex featuring three office towers,
restaurants, a 10-screen movie theater, an upscale health club and
the 256-key Hyatt Regency Morristown. As of year-end (YE) 2019, the
subject was 92% occupied with an NOI DSCR of 2.26x. Reported YE
2019 NOI increased approximately 5% yoy, but remains 12% below
issuance levels. Per the servicer's watchlist, there is currently
$929,000 outstanding in principal and interest advances and the
loan has most recently paid through March 2020.

The second largest FLOC is the third largest loan in the pool. Mall
of Louisiana (5.30% of the pool) is secured by the in-line space
within a 1.5 million sf super-regional mall located in Baton Rouge,
LA. Non-collateral tenants include Dillard's, Dillard's Men & Home,
JC Penney, Macy's and Sears. The largest collateral tenants are AMC
Theatres (9.6% NRA) and Dick's Sporting Goods (9.5% NRA). Per the
March 2020 sales report, in-line sales for the trailing-twelve
months (TTM) were $414 psf (excluding Apple) compared with $461 psf
at YE 2018 and $438 psf at issuance. At issuance, it was noted that
most in-line stores had demonstrated declining sales. Leases
representing approximately 24% of the NRA are scheduled to expire
in the next 12 months.

The third largest FLOC is the specially serviced Belden Park
Crossing (2.94%) loan. The loan transferred to special servicing in
May 2020 due to the impact of the coronavirus. The loan is secured
by a 483,984 SF anchored retail property located in Canton, OH. The
largest tenants at the property include Kohl's (21% NRA), Dick's
Sporting Goods (13.5% NRA) and Value City Furniture (10% NRA).
Dick's Sporting Goods, Kohl's, and Value City Furniture all had
leases that rolled in 2020 and 2021. While Kohl's and Value City
Furniture recently renewed for additional five-year terms, the
servicer noted that it appears Dick's will not be renewing their
lease and will instead move locations to a former Sears space at
the Belden Village Mall. As of YE 2019, the debt service coverage
ratio (DSCR) was 2.25x and occupancy was 97%.

The fourth FLOC is 555 De Haro (2.46%). The loan is secured by a
49,946-sf industrial-flex property located within the Potrero Hill
submarket of San Francisco, CA. In 2018 and 2019, the property's
two largest tenants at issuance vacated at the end of their
respective lease expiration dates. Per the watchlist, the loan is
currently being cash managed with a current balance in the reserve
of approximately $641,000. Conversely, the borrower has stated that
there has been significant leasing activity at the property. As of
March 2020, the DSCR and occupancy were 1.68x and 45%,
respectively.

The final two FLOCs are outside of the top fifteen largest loans
and represent 3.02% of the deal's balance.

Hilton Houston Galleria TX (1.91%) is secured by a 292-key
full-service hotel located in Houston, TX. The asset transferred to
the special servicer in July 2020 due to payment default and is
currently 90+ days past due. As of the TTM period ending March
2020, DSCR and occupancy were 0.31x and 58%, respectively.

The remaining FLOC is the specially serviced 444-446 86th Street
(1.12%) loan. The loan is secured by an 11,000-sf anchored retail
center located in Brooklyn, NY. Per the servicer's watchlist, the
asset transferred to special servicing in July 2020 due to payment
default. As of July, the subject was fully occupied by Century 21
(64% of NRA) and Bath & Body Works (36% of NRA).

Minimal Changes to Credit Enhancement: The pool has amortized by
1.6% of the original pool balance since issuance. No loans have
been repaid. Nineteen loans (33.2% of the pool) are interest-only
for the full term. An additional 18 loans (29.8%) are balloon
loans. The remaining 15 loans are partial interest-only and
represent 37.1% of the pool. One loan (1.9%) is scheduled to mature
in 2022, with the remainder of the pool maturing in 2027.

Alternative Loss Consideration: Given the upcoming tenant roll,
market location, regional mall nature of the collateral and
declining sales, Fitch's analysis included an additional
sensitivity on the Mall of Louisiana loan, which assumed a
potential outsize loss of 20% on the balloon balance. Fitch remains
concerned about the performance and loan's ability to refinance
given the declining performance since issuance.

Coronavirus Exposure: Loans secured by retail properties comprise
27.24% of the pool, including three in the top 15 (10.86%). The
pool's retail component has a weighted average DSCR of 2.35x. Loans
secured by hotel properties comprise 19.98% of the pool, including
three in the top 15. The pool's hotel component has a weighted
average DSCR of 1.95x. Additional coronavirus-related stresses were
applied to seven hotel loans (17.5%) and three retail loans (2.3%);
these additional stresses contributed to the Negative Rating
Outlook on class E-RR.

Above-Average Amortization: The pool is scheduled to amortize by
10.6%, which is above other similar vintage Fitch-rated
transactions.

RATING SENSITIVITIES

The Outlooks on classes A-1 through D, and X-A, X-B, and X-D remain
Stable.

The Outlook on class E-RR has been revised to Negative from
Stable.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Factors that could lead to upgrades would include significantly
improved performance coupled with paydown and/or defeasance. An
upgrade to class D could occur with stabilization of the FLOCs, but
would be limited as concentrations increase. Classes would not be
upgraded above 'Asf' if there is likelihood of interest shortfalls.
Upgrades of classes E-RR, F-RR, and G-RR would only occur with
significant improvement in credit enhancement and stabilization of
the FLOCs.

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Factors that could lead to downgrades include an increase in pool
level losses from underperforming or specially serviced loans.
Downgrades to the classes rated 'AAAsf' are not considered likely
due to position in the capital structure, but may occur at 'AAAsf'
or 'AAsf' should interest shortfalls occur. Downgrades to classes C
and D may occur if pool performance declines or loss expectations
increase. Downgrades to classes E-RR, F-RR and G-RR may occur if
loans in special servicing remain unresolved or if performance of
the FLOCs fail to stabilize.

In addition to its baseline scenario, Fitch also envisions a
downside scenario where the health crisis is prolonged beyond 2021;
should this scenario play out, Fitch expects that a greater
percentage of classes may be assigned a Negative Rating Outlook or
those with Negative Rating Outlooks will be downgraded one or more
categories.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

No third-party due diligence was provided to, or reviewed by, Fitch
in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF
RATING

The principal sources of information used in the analysis are
described in the Applicable Criteria.

ESG CONSIDERATIONS

The highest level of ESG credit relevance, if present, is a score
of 3. This means ESG issues are credit-neutral or have only a
minimal credit impact on the entity(ies), either due to their
nature or to the way in which they are being managed by the
entity(ies).


WELLS FARGO 2020-RR1: Fitch to Rate Class B-5 Debt 'B(EXP)'
-----------------------------------------------------------
Fitch Ratings expects to rate Wells Fargo Mortgage-Backed
Securities 2020-RR1 Trust.

RATING ACTIONS

WFMBS 2020-RR1

Class A-1; LT AAA(EXP)sf; Expected Rating

Class A-2; LT AAA(EXP)sf; Expected Rating

Class A-3; LT AAA(EXP)sf; Expected Rating

Class A-4; LT AAA(EXP)sf; Expected Rating

Class A-5; LT AAA(EXP)sf; Expected Rating

Class A-6; LT AAA(EXP)sf; Expected Rating

Class A-7; LT AAA(EXP)sf; Expected Rating

Class A-8; LT AAA(EXP)sf; Expected Rating

Class A-9; LT AAA(EXP)sf; Expected Rating

Class A-10; LT AAA(EXP)sf; Expected Rating

Class A-11; LT AAA(EXP)sf; Expected Rating

Class A-12; LT AAA(EXP)sf; Expected Rating

Class A-13; LT AAA(EXP)sf; Expected Rating

Class A-14; LT AAA(EXP)sf; Expected Rating

Class A-15; LT AAA(EXP)sf; Expected Rating

Class A-16; LT AAA(EXP)sf; Expected Rating

Class A-17; LT AAA(EXP)sf; Expected Rating

Class A-18; LT AAA(EXP)sf; Expected Rating

Class A-19; LT AAA(EXP)sf; Expected Rating

Class A-20; LT AAA(EXP)sf; Expected Rating

Class A-IO1; LT AAA(EXP)sf; Expected Rating

Class A-IO2; LT AAA(EXP)sf; Expected Rating

Class A-IO3; LT AAA(EXP)sf; Expected Rating

Class A-IO4; LT AAA(EXP)sf; Expected Rating

Class A-IO5; LT AAA(EXP)sf; Expected Rating

Class A-IO6; LT AAA(EXP)sf; Expected Rating

Class A-IO7; LT AAA(EXP)sf; Expected Rating

Class A-IO8; LT AAA(EXP)sf; Expected Rating

Class A-IO9; LT AAA(EXP)sf; Expected Rating

Class A-IO10; LT AAA(EXP)sf; Expected Rating

Class A-IO11; LT AAA(EXP)sf; Expected Rating

Class B-1; LT AA+(EXP)sf; Expected Rating

Class B-2; LT A(EXP)sf; Expected Rating

Class B-3; LT BBB+(EXP)sf; Expected Rating

Class B-4; LT BB+(EXP)sf; Expected Rating

Class B-5; LT B(EXP)sf; Expected Rating

Class B-6; LT NR(EXP)sf; Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 350 prime fixed-rate mortgage
loans with a total balance of approximately $273 million as of the
cutoff date. All of the loans were originated by Wells Fargo Bank,
N.A (Wells Fargo) or were acquired from its correspondents. This is
the tenth post-crisis issuance from Wells Fargo. All of the loans
satisfy the Ability to Repay Rule (ATR); however, Wells Fargo
determined only two loans meet the QM designation based on its
underwriting guidelines.

KEY RATING DRIVERS

Revised GDP Due to the Coronavirus (Negative): The coronavirus and
the resulting containment efforts have resulted in revisions to
Fitch's GDP estimates for 2020. Fitch's baseline global economic
outlook for U.S. GDP growth is currently a 4.6% decline for 2020,
down from 1.7% for 2019. Fitch's downside scenario would see an
even larger decline in output in 2020 and a weaker recovery in
2021. To account for declining macroeconomic conditions resulting
from the coronavirus, an Economic Risk Factor (ERF) floor of 2.0
(the ERF is a default variable in the U.S. RMBS loan loss model)
was applied to 'BBBsf' and below.

Expected Payment Deferrals Related to the Coronavirus (Negative):
The outbreak of the coronavirus and widespread containment efforts
in the U.S. will result in increased unemployment and cash flow
disruptions. To account for the cash flow disruptions, Fitch
assumed deferred payments on a minimum of 25% of the pool for the
first six months of the transaction at all rating categories with a
reversion to its standard delinquency and liquidation timing curve
by month 10. This assumption is based on observations of legacy
delinquencies and past-due payments following Hurricane Maria in
Puerto Rico.

Payment Forbearance (Mixed): As of the cutoff date, none of the
borrowers in the pool are on a coronavirus forbearance plan.
Additionally, any loan that enters a coronavirus forbearance plan
between the cutoff date and prior to or on the closing date will be
removed from the pool (at par) within 30 days of closing. For
borrowers who enter a coronavirus forbearance plan post-closing,
the P&I advancing party will advance delinquent P&I during the
forbearance period. If at the end of the forbearance period the
borrower begins making payments, the advancing party will be
reimbursed from any catch-up payment amount.

If the borrower doesn't resume making payments and the loan is
modified, or if the payments missed by the borrower during the
forbearance period are deferred in a balloon loan modification due
at the end of the existing loan term, the advancing party will be
reimbursed from available funds. Fitch increased its loss
expectations by 10 bps for the 'BB+sf' ratings categories and below
to address the potential for write-downs due to reimbursements of
servicer advances. This increase is based on a servicer
reimbursement scenario analysis which incorporated collateral
similar to WFMBS 2020-RR1. Fitch did not adjust its loss
expectations above 'BB+sf' because its model output levels were
sufficiently lower than Fitch's loss floors for 30-year
collateral.

Full Servicer Advancing (Neutral): The pool benefits from advances
of delinquent P&I until the servicer, Wells Fargo, the primary
servicer of the pool, deems them nonrecoverable. Fitch's loss
severities reflect reimbursement of amounts advanced by the
servicer from liquidation proceeds based on its liquidation
timelines assumed at each rating stress. In addition, the credit
enhancement (CE) for the rated classes has some cushion for
recovery of servicer advances for loans that are modified following
a payment forbearance.

Very High-Quality Mortgage Pool (Positive): The collateral
attributes are among the strongest of post-crisis RMBS rated by
Fitch. The pool consists primarily of 30-year, fixed-rate, fully
amortizing loans to borrowers with strong credit profiles, low
leverage and large liquid reserves. All but two loans are
classified as Non-Qualified Mortgages (NQM), but all loans are
Ability-To-Repay (ATR) compliant. The remaining two loans are
classified as Safe Harbor Qualified Mortgages (SHQM). The loans are
seasoned an average of 15.2 months.

The pool has a weighted average (WA) original FICO score of 779,
which is indicative of very high credit-quality borrowers.
Approximately 86% has original FICO scores at or above 750. In
addition, the original WA CLTV ratio of 70.2% represents
substantial borrower equity in the property. The pool's attributes,
together with Wells Fargo's sound origination practices, support
Fitch's very low default risk expectations.

Non-Qualified Mortgage (Negative): All of the loans in this
transaction were underwritten to guidelines that satisfy the ATR
Rule, however, Wells Fargo determined only two loans meet the QM
designation based on its underwriting guidelines. Fitch's 'AAAsf'
loss was increased by 18 bps to account for the potential risk of
foreclosure challenges under the ATR Rule.

Geographic Concentration (Neutral): Approximately 38% of the pool
is concentrated in California with relatively low MSA
concentration. The largest MSA concentration is in San Francisco
MSA (11.4%) followed by the Los Angeles MSA (9.3%) and the Chicago
MSA (8.2%). The top three MSAs account for 29% of the pool. As a
result, there was no adjustment for geographic concentration.

Low Operational Risk (Positive): Operational risk is very well
controlled for in this transaction. Wells Fargo has an extensive
operating history in residential mortgage originations and is
assessed as an 'Above Average' originator by Fitch. The entity has
a diversified sourcing strategy and uses an effective proprietary
underwriting system for its retail originations. Wells Fargo will
perform primary and master servicing for this transaction; these
functions are rated 'RPS1-' and 'RMS1-', respectively, which are
among Fitch's highest servicer ratings. Each of these servicers was
moved to Negative from Stable due to the changing economic
landscape. The expected losses at the 'AAAsf' rating stress were
reduced by approximately 31 bps to reflect these strong operational
assessments.

Tier 2 Representations and Warranties (R&W) Framework (Neutral):
While the loan-level R&Ws for this transaction are substantially in
conformity with Fitch criteria, the framework has been assessed as
a Tier 2 due to the narrow testing construct, which limits the
breach reviewers ability to identify or respond to issues not fully
anticipated at closing. The Tier 2 assessment and the strong
financial condition of Wells Fargo as R&W provider resulted in a
neutral impact to the CE. In response to the coronavirus, and in an
effort to focus breach reviews on loans that are more likely to
contain origination defects that let to or contributed to the
delinquency of the loan, Wells Fargo added additional carve-out
language relating to the delinquency review trigger for certain
Disaster Mortgage Loans that are modified or delinquent due to
disaster related loss mitigation (including the coronavirus). This
is discussed further in the Asset Analysis section.

Due Diligence Review Results (Positive): Third-party due diligence
was performed on 100% of the loans in the transaction pool. The
review was performed by Clayton, which is assessed by Fitch as an
'Acceptable - Tier 1' TPR firm. A total of 99.7% of the loans
received a final grade of 'A' or 'B' which reflects strong
origination practices. Loans with a final grade of 'B' were
supported with sufficient compensating factors or were already
accounted for in Fitch's loan loss model. One loan was graded 'C'
due to an issue verifying bonus income. Fitch applied the TPR's
recalculated DTI. The adjustment did not have a material impact on
the expected loss levels. Loans with due diligence receive a credit
in the loss model; the aggregate adjustment reduced the 'AAAsf'
expected losses by 15 bps.

Straightforward Deal Structure (Positive): The mortgage cash flow
and loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps maintain subordination for a longer period should
losses occur later in the life of the deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified CE levels are not
maintained.

To mitigate tail risk, which arises as the pool seasons and fewer
loans are outstanding, a subordination floor of 1.60% of the
original balance will be maintained for the senior certificates.

Extraordinary Expense Treatment (Neutral): The trust provides for
expenses, including indemnification amounts, reviewer fees and
costs of arbitration, to be paid by the net WA coupon of the loans,
which does not affect the contractual interest due on the
certificates. Furthermore, the expenses to be paid from the trust
are capped at $350,000 per annum, with the exception of independent
reviewer breach review fee, which can be carried over each year,
subject to the cap until paid in full.

RATING SENSITIVITIES

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
The implied rating sensitivities are only an indication of some of
the potential outcomes and do not consider other risk factors that
the transaction may become exposed to or that may be considered in
the surveillance of the transaction. Sensitivity analyses was
conducted at the state and national levels to assess the effect of
higher MVDs for the subject pool as well as lower MVDs, illustrated
by a gain in home prices.

Factors that could, individually or collectively, lead to a
negative rating action/downgrade:

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 39.2% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

Factors that could, individually or collectively, lead to a
positive rating action/upgrade:

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to negative MVDs at the national level, or
in other words positive home price growth with no assumed
overvaluation. The analysis assumes positive home price growth of
10%. Excluding the senior class, which is already rated 'AAAsf',
the analysis indicates there is potential positive rating migration
for all of the rated classes. Specifically, a 10% gain in home
prices would result in a full category upgrade for the rated class
excluding those being assigned ratings of 'AAAsf'.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

Fitch has added a Coronavirus Sensitivity Analysis that that
includes a prolonged health crisis resulting in depressed consumer
demand and a protracted period of below-trend economic activity
that delays any meaningful recovery to beyond 2021. Under this
severe scenario, Fitch expects the ratings to be impacted by
changes in its sustainable home price model due to updates to the
model's underlying economic data inputs. Any long-term impact
arising from coronavirus disruptions on these economic inputs will
likely affect both investment and speculative grade ratings.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton Services LLC. The third-party due diligence
described in Form 15E focused on a compliance review, credit review
and valuation review. The due diligence company performed a review
on 100% of the loans. Fitch believes the overall results of the
review generally reflected strong underwriting control. Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment to its analysis: loans with due
diligence received a credit in the loss model. This adjustment
reduced the 'AAAsf' expected losses by 15 bps.

ESG CONSIDERATIONS

WFMBS 2020-RR1: Transaction Parties & Operational Risk: 4

Except for the matters discussed, the highest level of ESG credit
relevance, if present, is a score of 3 - ESG issues are credit
neutral or have only a minimal credit impact on the entity, either
due to their nature or the way in which they are being managed by
the entity.


WELLS FARGO 2020-RR1: Moody's Assigns (P)B1 Rating on Cl. B-5 Debt
------------------------------------------------------------------
Moody's Investors Service assigned provisional ratings to 25
classes of residential mortgage-backed securities (RMBS) issued by
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust (WFMBS
2020-RR1). The ratings range from (P)Aaa (sf) to (P)B1 (sf). The
transaction represents the tenth RMBS issuance sponsored by Wells
Fargo Bank, N.A. (Wells Fargo Bank), the sponsor and mortgage loan
seller) since 2018 and features mortgage loans with strong
collateral characteristics.

WFMBS 2020-RR1 is the fifth prime issuance by Wells Fargo Bank in
2020, but is the first transaction from the sponsor primarily
backed by non-Qualified Mortgage (QM) loans (99.2% by balance),
consisting of 350 primarily 30-year, fixed rate, prime residential
mortgage loans with an unpaid principal balance of $273,089,920.
The mortgage loans for this transaction were originated by Wells
Fargo Bank, through its retail and correspondent channels, in
accordance with its underwriting guidelines. Unlike typical Wells
Fargo Bank sponsored transactions, this transaction does not
include representations from the sponsor that the mortgage loans in
the portfolio are QM loans under the Ability to Repay (ATR) rules
in the Truth-in-Lending Act (TILA). However, the sponsor will make
certain representations that the mortgage loans will comply with
the ATR rules. As a result, the transaction is subject to the
Dodd-Frank Act's risk retention rules and the sponsor will retain
5% of the securitized exposure in the transaction.

The pool has strong credit quality and consists of borrowers with
high FICO scores, significant equity in their properties and liquid
cash reserves. The pool has clean pay history and weighted average
(WA) seasoning of approximately 14.2 months. Of note, any loan that
has entered into a coronavirus (COVID-19) related forbearance plan
as of the cut-off date has been removed from the mortgage pool.
Additionally, any borrowers that request forbearance between the
cut-off date and closing will be repurchased within 30 days of
closing.

Wells Fargo Bank will service all the mortgage loans and will also
be the master servicer for this transaction. The aggregate
servicing fee rate is 25 basis points (bps) and the servicer will
advance delinquent principal and interest (P&I), unless deemed
nonrecoverable.

The credit quality of the transaction is further supported by an
unambiguous representation and warranty (R&W) framework and a
shifting interest structure that benefits from a senior floor and a
subordinate floor. Moody's coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow tool.

The complete rating actions are as follows:

Issuer: Wells Fargo Mortgage Backed Securities 2020-RR1 Trust

Cl. A-1, Assigned (P) Aaa (sf)

Cl. A-2, Assigned (P) Aaa (sf)

Cl. A-3, Assigned (P) Aaa (sf)

Cl. A-4, Assigned (P) Aaa (sf)

Cl. A-5, Assigned (P) Aaa (sf)

Cl. A-6, Assigned (P) Aaa (sf)

Cl. A-7, Assigned (P) Aaa (sf)

Cl. A-8, Assigned (P) Aaa (sf)

Cl. A-9, Assigned (P) Aaa (sf)

Cl. A-10, Assigned (P) Aaa (sf)

Cl. A-11, Assigned (P) Aaa (sf)

Cl. A-12, Assigned (P) Aaa (sf)

Cl. A-13, Assigned (P) Aaa (sf)

Cl. A-14, Assigned (P) Aaa (sf)

Cl. A-15, Assigned (P) Aaa (sf)

Cl. A-16, Assigned (P) Aaa (sf)

Cl. A-17, Assigned (P) Aa1 (sf)

Cl. A-18, Assigned (P) Aa1 (sf)

Cl. A-19, Assigned (P) Aaa (sf)

Cl. A-20, Assigned (P) Aaa (sf)

Cl. B-1, Assigned (P) Aa3 (sf)

Cl. B-2, Assigned (P) A3 (sf)

Cl. B-3, Assigned (P) Baa3 (sf)

Cl. B-4, Assigned (P) Ba1 (sf)

Cl. B-5, Assigned (P) B1 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Its expected losses in a base case scenario are 0.26% at the mean
and 0.14% at the median. Its losses reach 3.21% at a stress level
consistent with its Aaa ratings.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
residential mortgage loans from the current weak US economic
activity and a gradual recovery for the coming months. Although an
economic recovery is underway, it is tenuous and its continuation
will be closely tied to containment of the virus. As a result, the
degree of uncertainty around its forecasts is unusually high.
Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

The contraction in economic activity in the second quarter was
severe and the overall recovery in the second half of the year will
be gradual. However, there are significant downside risks to its
forecasts in the event that the pandemic is not contained and
lockdowns have to be reinstated. As a result, the degree of
uncertainty around its forecasts is unusually high. Moody's
increased its model-derived median expected losses by 15% (9.41%
for the mean) and its Aaa losses by 5% to reflect the likely
performance deterioration resulting from a slowdown in US economic
activity in 2020 due to the coronavirus outbreak.

Moody's bases its ratings on the certificates on the credit quality
of the mortgage loans, the structural features of the transaction,
its assessments of the origination quality and servicing
arrangement, the strength of the third-party due diligence and the
R&W framework of the transaction.

Collateral Description

The WFMBS 2020-RR1 transaction is a securitization of 350 first
lien residential mortgage loans with an unpaid principal balance of
$273,089,920. The mortgage loans in this transaction have strong
borrower characteristics with a WA original FICO score of 783 and a
weighted-average original loan-to-value ratio (LTV) of 69.8%. In
addition, by stated principal balance, 34.3% of the borrowers are
self-employed, refinance loans account for approximately 46.1%
(inclusive of construction to permanent loans), of which 7.6% are
cash-out loans. Construction to permanent loans account for 9.50%
(by stated principal balance) of the pool. The construction to
permanent is a two-part loan where the first part is for the
construction and then it becomes a permanent mortgage once the
property is complete. For such mortgage loans in the pool, the
construction was complete and because the borrower cannot receive
cash from the permanent loan proceeds or anything above the
construction cost, Moody's treated these mortgage loans as a
rate-and-term refinance rather than a cash-out.

Approximately 59.1% (by stated principal balance) of the properties
backing the mortgage loans are located in five states: California,
Illinois, Texas, Florida and Maryland with 37.9% (by stated
principal balance) of the properties located in California.
Properties located in the states of Virginia, Washington, New York,
Colorado and Massachusetts round out the top ten states by loan
stated principal balance. Approximately 75.2% (by stated principal
balance) of the properties backing the mortgage loans included in
WFMBS 2020-RR1 are located in these ten states.

Origination Quality

Wells Fargo Bank, N.A. (Aa1 long term deposit; Aa2 long term debt)
is an indirect, wholly-owned subsidiary of Wells Fargo & Company
(long term debt A2). Wells Fargo & Company is a U.S. bank holding
company with approximately $1.97 trillion in assets and
approximately 266,000 employees as of June 30, 2020, which provides
banking, insurance, trust, mortgage and consumer finance services
throughout the United States and internationally. Wells Fargo Bank
has sponsored or has been engaged in the securitization of
residential mortgage loans since 1988. Wells Fargo Home Lending
(WFHL) is a key part of Wells Fargo & Company's diversified
business model. The mortgage loans for this transaction are
originated by WFHL, through its retail and correspondent channels,
in accordance with its underwriting guidelines. The company uses a
solid loan origination system which include embedded features such
as a proprietary risk scoring model, role-based business rules and
data edits that ensure the quality of loan production.

In this transaction, no mortgage loans were underwritten
specifically to Fannie Mae and Freddie Mac, i.e.
government-sponsored enterprise (GSE) guidelines. All mortgage
loans were underwritten and priced to WFHL portfolio requirements.
In other words, while 100% of all non-conforming mortgage loans
receive some level of support from an automated underwriting system
(AUS), the evaluation is not intended to replace or supersede the
underwriter as many factors used in the underwriting process may
not be embedded in the AUS.

WFHL does not have underwriting guidelines that relate solely to
mortgage loans that are intended to be non-QM or QM and therefore,
the underwriting guidelines are applicable to both. However, the
identification of a mortgage loans as a non-QM is based upon WFHL's
categorization of such mortgage loans under its underwriting
policies and procedures in place at the time of origination of such
mortgage loans (including WFHL's interpretation of Appendix Q).
Other lenders or market participants may interpret and apply the
ATR rules differently than WFHL and therefore may arrive at
different conclusions regarding whether any such mortgage loans
would meet the definition of a QM or is otherwise a non-QM mortgage
loan. Therefore, WFHL may classify a mortgage loan at the time it
was originated under its guidelines as a QM that it would have
previously classified (or would in the future classify) as a non-QM
loan or vice versa. In fact, the third-party review (TPR) firm
reviewed the mortgage loans in this transaction for compliance with
the QM criteria. With respect to 261 mortgage loans (out of 376
reviewed), the TPR firm concluded that such mortgage loans are QMs.
The two main items WFHL cites as non-QM that the TPR firm does not
are (1) self-prepared P&L and balance sheet (not specified in
QM/Appendix Q) and (2) waived P&L and balance sheet on
self-employed income is not used to qualify.

It should be noted that while WFHL implemented a number of policy
changes to address the Covid-19 environment, all of the mortgage
loans in this transaction have been originated prior to such policy
changes. Additionally, WFHL has temporarily stopped originating
non-conforming correspondent mortgage loans, until further notice.

After considering the company's origination practices, Moody's made
no additional adjustments to its base case and Aaa loss
expectations for origination.

Third Party Review

One independent TPR firm, Clayton Services LLC, was engaged to
conduct due diligence for the credit, regulatory compliance,
property valuation and data accuracy for all of the 376 mortgage
loans in the initial population of this transaction. The TPR
results indicate that the majority of reviewed mortgage loans were
in compliance with the underwriting guidelines, no material
compliance or data issues, and no appraisal defects. There was one
mortgage loan with a level "C" grade which was due to missing
income documentation on a particular bonus the borrower received,
which was subsequently excluded from the income calculation. While
this increased DTI to approximately 46%, this exception was
addressed adequately owing to general adherence to Wells Fargo
Bank's underwriting guidelines, compliance with applicable law, in
addition to the presence of strong compensating factors. Moody's
did not make any additional adjustments in its model analysis to
account for this exception.

The TPR firm's property valuation review consisted of reviewing the
valuation materials utilized at origination to ensure the appraisal
report was complete and in conformity with the underwriting
guidelines. The TPR firm also compared third-party valuation
products to the original appraisals. The TPR firm generally
obtained a collateral desktop analysis (CDA) through an independent
third-party valuation company to determine whether such CDA
supported the appraisal value used in connection with the
origination of the mortgage loan within a negative 10% variance.
Instances where 10% negative variances (between the CDA and the
appraised value) were reported, a field review was ordered to
reconcile value per the original appraisal. Additionally, any loan
more than 12 months old received new Broker Price Opinion (BPO)
value. Out of 219 BPOs ordered, 36 BPOs produced negative variances
above -10%. Moody's has reviewed all such variances in detail
(available BPO reports and Wells Fargo Bank's detailed notes and
summaries) and concluded that in most instances some BPOs produced
negative variances because such BPOs relied on
different/unsuitable/conflicting comparable and/or such BPOs
excluded key property features from its analysis. In some
instances, a field review actually supported the original appraisal
despite the variance in the BPO results. In this transaction, the
valuation cascade waterfall is very strong compared to many prime
originators, which includes original appraisals on all mortgage
loans, 100% CDAs, field-reviews to test negative CDA variances
above a certain threshold and finally BPOs on all seasoned mortgage
loans (more than 12 months old). As a result, Moody's did not make
an additional adjustment in its model analysis associated with some
of the observed negative BPO variances because Moody's considers
the accuracy of the data provided, scope and depth of the property
valuation procedures, quality control and overall valuation results
to be strong.

Finally, the majority of the data integrity errors in the initial
population of the pool were due to observed differences in cash
reserves (32 mortgage loans), CLTV (9 mortgage loans), DTI (36
mortgage loans), original appraised value (23 mortgage loans), and
self-employment flag (11 mortgage loans). Moody's did not make any
adjustments to its credit enhancement for data integrity since data
discrepancies were addressed appropriately.

Representation & Warranties

Moody's assessed the R&W framework for this transaction as
adequate. Moody's analyzed the strength of the R&W provider, the
R&Ws themselves and the enforcement mechanisms. The R&W provider is
highly rated, the breach reviewer is independent and the breach
review process is thorough, transparent and objective. As a result,
Moody's did not make any additional adjustment to its base case and
Aaa loss expectations for R&Ws.

Wells Fargo Bank, as the originator, makes the loan-level R&Ws for
the mortgage loans. The loan-level R&Ws are strong and, in general,
either meet or exceed the baseline set of credit-neutral R&Ws
Moody's has identified for US RMBS. Further, R&W breaches are
evaluated by an independent third party using a set of objective
criteria to determine whether any R&Ws were breached when mortgage
loans become 120 days delinquent, the property is liquidated at a
loss above a certain threshold, or the loan is modified by the
servicer. Similar to J.P. Morgan Mortgage Trust transactions, this
transaction contains a "prescriptive" R&W framework. These reviews
are prescriptive in that the transaction documents set forth
detailed tests for each R&W that the independent reviewer will
perform.

It should be noted that exceptions exist for certain excluded
disaster mortgage loans that trip the delinquency trigger. These
excluded disaster mortgage loans include COVID-19 forbearance
mortgage loans or any other loan with respect to which (a) the
related mortgaged property is located in an area that is subject to
a major disaster declaration by either the federal or state
government and (b) has either been modified or is being reported
delinquent by the servicer as a result of a forbearance, deferral
or other loss mitigation activity relating to the subject disaster.
Such excluded disaster mortgage loans may be subject to a review in
future periods if certain conditions are satisfied.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.60% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally, there is a
subordination lock-out amount which is 1.60% of the closing pool
balance.

Moody's calculates the credit neutral floors for a given target
rating as shown in its principal methodology. The senior
subordination floor of 1.60% and subordinate floor of 1.60% are
consistent with the credit neutral floors for the assigned
ratings.

Transaction Structure

The securitization has a shifting interest structure that benefits
from a senior floor and a subordinate floor. Funds collected,
including principal, are first used to make interest payments and
then principal payments to the senior bonds, and then interest and
principal payments to each subordinate bond. As in all transactions
with shifting interest structures, the senior bonds benefit from a
cash flow waterfall that allocates all unscheduled principal
collections to the senior bond for a specified period of time and
increasing amounts of unscheduled principal collections to the
subordinate bonds thereafter, but only if loan performance
satisfies delinquency and loss tests.

All certificates in this transaction are subject to a net WAC cap.
Realized losses are allocated reverse sequentially among the
subordinate and senior support certificates and on a pro-rata basis
among the super senior certificates.

Because it includes non-QM loans, the transaction is subject to the
Dodd-Frank Act's risk retention rules. In this transaction, the
sponsor or one or more majority owned affiliates of the sponsor
will retain a 5% vertical residual interest in all the offered
certificates. The sponsor or one or more majority owned affiliates
of the sponsor will also be the holder of the residual
certificate.

Servicing Arrangement

In WFMBS 2020-RR1, unlike other prime jumbo transactions, Wells
Fargo Bank acts as servicer, master servicer, securities
administrator and custodian of all of the mortgage loans for the
deal. The servicer will be primarily responsible for funding
certain servicing advances and delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer and servicer will be entitled to be reimbursed for any
such monthly advances from future payments and collections
(including insurance and liquidation proceeds) with respect to
those mortgage loans (see also COVID-19 impacted borrowers section
for additional information).

In the case of the termination of the servicer, the master servicer
must consent to the trustee's selection of a successor servicer,
and the successor servicer must have a net worth of at least $15
million and be Fannie or Freddie approved. The master servicer
shall fund any advances that would otherwise be required to be made
by the terminated servicer (to the extent the terminated servicer
has failed to fund such advances) until such time as a successor
servicer is appointed. Additionally, in the case of the termination
of the master servicer, the trustee will be required to select a
successor master servicer in consultation with the depositor. The
termination of the master servicer will not become effective until
either the trustee or successor master servicer has assumed the
responsibilities and obligations of the master servicer which also
includes the advancing obligation.

After considering Wells Fargo Bank's servicing practices, Moody's
did not make any additional adjustment to its losses.

COVID-19 Impacted Borrowers

As of the cut-off date, no borrower under any mortgage loan has
entered into a COVID-19 related forbearance plan with the servicer.
The mortgage loan seller will covenant in the mortgage loan
purchase agreement to repurchase at the repurchase price within 30
days of the closing date any mortgage loan with respect to which
the related borrower requests or enters into a COVID-19 related
forbearance plan after the cut-off date but on or prior to the
closing date. In the event that after the closing date a borrower
enters into or requests a COVID-19 related forbearance plan, such
mortgage loan (and the risks associated with it) will remain in the
mortgage pool.

In the event the servicer enters into a forbearance plan with a
COVID-19 impacted borrower of a mortgage loan, the servicer will
report such mortgage loan as delinquent (to the extent payments are
not actually received from the borrower) and the servicer will be
required to make advances in respect of delinquent interest and
principal (as well as servicing advances) on such loan during the
forbearance period (unless the servicer determines any such
advances would be a nonrecoverable advance). At the end of the
forbearance period, if the borrower is able to make the current
payment on such mortgage loan but is unable to make the previously
forborne payments as a lump sum payment or as part of a repayment
plan, the servicer anticipates it will modify such mortgage loan
and any forborne amounts will be deferred as a non-interest bearing
balloon payment that is due upon the maturity of such mortgage
loan.

At the end of the forbearance period, if the borrower repays the
forborne payments via a lump sum or repayment plan, advances will
be recovered via the borrower payment(s). In an event of
modification, Wells Fargo Bank will recover advances made during
the period of Covid-19 related forbearance from pool level
collections.

Any principal forbearance amount created in connection with any
modification (whether as a result of a COVID-19 forbearance or
otherwise) will result in the allocation of a realized loss and to
the extent any such amount is later recovered, will result in the
allocation of a subsequent recovery.

Factors that would lead to an upgrade or downgrade of the ratings:

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.

Methodology

The principal methodology used in these ratings was "Moody's
Approach to Rating US RMBS Using the MILAN Framework" published in
April 2020.


WEST CLO 2014-2: Moody's Lowers Rating on Class E Notes to Caa1
---------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by West CLO 2014-2 Ltd.:

US$4,250,000 Class E Senior Secured Deferrable Floating Rate Notes
due 2027 (current outstanding balance of $4,327,523) (the "Class E
Notes"), Downgraded to Caa1 (sf); previously on April 17, 2020 B2
(sf) Placed Under Review for Possible Downgrade

Moody's also upgraded the ratings on the following notes:

US$46,250,000 Class A-2-R Senior Secured Floating Rate Notes due
2027 (the "Class A-2-R Notes"), Upgraded to Aaa (sf); previously on
November 16, 2017 Assigned Aa1 (sf)

US$17,000,000 Class B-R Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class B-R Notes"), Upgraded to Aa1 (sf);
previously on November 16, 2017 Assigned A1 (sf)

US$24,500,000 Class C-R Senior Secured Deferrable Floating Rate
Notes due 2027 (the "Class C-R Notes"), Upgraded to A3 (sf);
previously on April 17, 2020 Baa2 (sf) Placed Under Review for
Possible Downgrade

Moody's also confirmed the rating on the following notes:

US$25,250,000 Class D Senior Secured Deferrable Floating Rate Notes
due 2027 (the "Class D Notes"), Confirmed at Ba3 (sf); previously
on April 17, 2020 Ba3 (sf) Placed Under Review for Possible
Downgrade

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class C-R, Class D, and Class E Notes issued by the
CLO, and also reflect a correction to the modeling of the
distribution of recovery proceeds on existing defaulted securities
in the transaction. The CLO, originally issued in January 2015 and
partially refinanced in November 2017, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in January 2019.

RATINGS RATIONALE

The downgrade on the Class E Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased
and expected losses (ELs) on certain notes have increased.

The upgrade actions are primarily a result of deleveraging of the
senior notes and an increase in the transaction's
over-collateralization (OC) ratios since November 2017. The Class
A-1-R notes have been paid down by approximately 70% or $178.3
million since that time. Based on Moody's calculation, the OC
ratios (excluding haircuts) for the Class A-2-R, Class B-R, and
Class C-R are currently 167.25%, 147.07% and 125.29%, respectively,
versus 131.91%, 124.91%, and 116.02% in November 2017,
respectively.

Despite the credit quality deterioration stemming from the
coronavirus outbreak, Moody's concluded that the expected losses on
the Class D Notes continue to be consistent with the notes' current
rating after taking into account the CLO's latest portfolio, its
relevant structural features and its actual over-collateralization
(OC) levels. Consequently, Moody's has confirmed the rating on the
Class D Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 4004, compared to 3506
reported in the March 2020 trustee report [2]. Moody's also noted
that the WARF was failing the test level of 2755 reported in the
August 2020 trustee report [3]. Based on Moody's calculation, the
proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately 37%.
Moody's noted that previous OC test failure resulted in repayment
of senior notes and deferral of current interest payments on the
Class E Notes. Nevertheless, Moody's noted that the OC tests for
the Class C-R Notes was recently reported [4] as passing.

These rating actions also reflect a correction to Moody's modeling
of the transaction. In prior rating actions, the modeled cash flows
did not include the recovery proceeds on existing defaulted
securities. As a result, the level of performing par was
underestimated throughout the life of the transaction. The error
has now been corrected, and today's rating actions reflect this
change.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $198,619,421

Defaulted Securities: $21,278,898

Diversity Score: 31

Weighted Average Rating Factor (WARF): 4026

Weighted Average Life (WAL): 3.3 years

Weighted Average Spread (WAS): 3.87%

Weighted Average Recovery Rate (WARR): 48.8%

Par haircut in O/C tests and interest diversion test: 5.8%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from our base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The rapid spread of the coronavirus outbreak, the government
measures put in place to contain it and the deteriorating global
economic outlook, have created a severe and extensive credit shock
across sectors, regions and markets. Our analysis has considered
the effect on the performance of corporate assets from the collapse
in the US economic activity in the second quarter and a gradual
recovery in the second half of the year. However, that outcome
depends on whether governments can reopen their economies while
also safeguarding public health and avoiding a further surge in
infections. As a result, the degree of uncertainty around our
forecasts is unusually high. We regard the coronavirus outbreak as
a social risk under our ESG framework, given the substantial
implications for public health and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
August 2020.


WIND RIVER 2016-1: Moody's Lowers Rating on Class E-R Notes to B1
-----------------------------------------------------------------
Moody's Investors Service downgraded the rating on the following
notes issued by Wind River 2016-1 CLO Ltd.:

US$30,000,000 Class E-R Secured Deferrable Floating Rate Notes due
2028 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on
April 17, 2020 Ba3 (sf) Placed Under Review for Possible Downgrade

The Class E-R Notes are referred to herein as the "Downgraded
Notes."

Moody's also confirmed the rating on the following notes:

US$30,000,000 Class D-R Secured Deferrable Floating Rate Notes due
2028 (the "Class D-R Notes"), Confirmed at Baa3 (sf); previously on
April 17, 2020 Baa3 (sf) Placed Under Review for Possible
Downgrade

The Class D-R Notes are referred to herein as the "Confirmed
Notes."

These actions conclude the reviews for downgrade initiated on April
17, 2020 on the Class D-R Notes and the Class E-R Notes issued by
the CLO. The CLO, originally issued in June 2016 and refinanced in
July 2018, is a managed cashflow CLO. The notes are collateralized
primarily by a portfolio of broadly syndicated senior secured
corporate loans. The transaction's reinvestment period ended in
July 2020.

RATINGS RATIONALE

The downgrade on the Downgraded Notes reflects the risks posed by
credit deterioration and loss of collateral coverage observed in
the underlying CLO portfolio, which have been primarily prompted by
economic shocks stemming from the coronavirus pandemic. Since the
outbreak widened in March 2020, the decline in corporate credit has
resulted in a significant number of downgrades, other negative
rating actions, or defaults on the assets collateralizing the CLO.
Consequently, the default risk of the CLO portfolio has increased,
the credit enhancement available to the CLO notes has declined, and
expected losses (ELs) on certain notes have increased. Despite the
credit quality deterioration stemming from the coronavirus
outbreak, Moody's concluded that the expected losses on the
Confirmed Notes continue to be consistent with the notes' current
rating after taking into account the CLO's latest portfolio, its
relevant structural features and its actual over-collateralization
(OC) levels. Consequently, Moody's has confirmed the rating on the
Confirmed Notes.

According to the August 2020 trustee report [1], the weighted
average rating factor (WARF) was reported at 3283, compared to 2872
reported in the March 2020 trustee report [2]. Moody's calculation
also showed the WARF was failing the test level of 2908 reported in
the August 2020 trustee report [3]. Based on Moody's calculation,
the proportion of obligors in the portfolio with Moody's corporate
family or other equivalent ratings of Caa1 or lower (adjusted for
negative outlook or watchlist for downgrade) was approximately
19.88% as of August 2020. Furthermore, Moody's calculated the total
collateral par balance, including recoveries from defaulted
securities, at $586.7 million, or $13.3 million less than the
deal's ramp-up target par balance. Nevertheless, Moody's noted that
the OC tests for all of the classes of notes, as well as the
interest diversion test were recently reported [4] as passing.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

For modeling purposes, Moody's used the following base-case
assumptions:

Performing par and principal proceeds balance: $580,112,170

Defaulted Securities: $10,156,902

Diversity Score: 73

Weighted Average Rating Factor (WARF): 3266

Weighted Average Life (WAL): 4.63 years

Weighted Average Spread (WAS): 3.47%

Weighted Average Recovery Rate (WARR): 47.6%

Par haircut in O/C tests and interest diversion test: 1.40%

In consideration of the current high uncertainties around the
global economy and the ultimate performance of the CLO portfolio,
Moody's conducted a number of additional sensitivity analyses
representing a range of outcomes that could diverge, both to the
downside and the upside, from its base case. Some of the additional
scenarios that Moody's considered in its analysis of the
transaction include, among others: additional near-term defaults of
companies facing liquidity pressure; additional OC par haircuts to
account for potential future downgrades and defaults resulting in
an increased likelihood of cash flow diversion to senior notes; and
some improvement in WARF as the US economy gradually recovers in
the second half of the year and corporate credit conditions
generally stabilize.

The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to
disrupt economies and credit markets across sectors and regions.
Its analysis has considered the effect on the performance of
corporate assets from the current weak US economic activity and a
gradual recovery for the coming months. Although an economic
recovery is underway, it is tenuous and its continuation will be
closely tied to containment of the virus. As a result, the degree
of uncertainty around its forecasts is unusually high.

Moody's regards the coronavirus outbreak as a social risk under its
ESG framework, given the substantial implications for public health
and safety.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

The performance of the rated notes is subject to uncertainty in the
performance of the related CLO's underlying portfolio, which in
turn depends on economic and credit conditions that may change. In
particular, the length and severity of the economic and credit
shock precipitated by the global coronavirus pandemic will have a
significant impact on the performance of the securities. The CLO
manager's investment decisions and management of the transaction
will also affect the performance of the rated securities.


ZAIS CLO 16: S&P Assigns Prelim BB- (sf) Rating to Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Zais CLO 16
Ltd./Zais CLO 16 LLC's floating-rate notes.

The note issuance is a CLO securitization backed by broadly
syndicated, speculative-grade (rated 'BB+' and lower) senior
secured loans, cash, and eligible investments.

The preliminary ratings are based on information as of Sept. 8,
2020. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool;

-- The credit enhancement provided through the subordination of
cash flows, excess spread, and overcollateralization;

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through collateral
selection, ongoing portfolio management, and trading; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

S&P Global Ratings acknowledges a high degree of uncertainty about
the evolution of the coronavirus pandemic. The consensus among
health experts is that the pandemic may now be at, or near, its
peak in some regions but will remain a threat until a vaccine or
effective treatment is widely available, which may not occur until
the second half of 2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P Global Ratings said.

  PRELIMINARY RATINGS ASSIGNED

  Zais CLO 16 Ltd./Zais CLO 16 LLC

  Class                 Rating        Amount
                                    (mil. $)
  A-1                   AAA (sf)       90.00
  A-2                   AAA (sf)       50.00
  A-F                   AAA (sf)       40.00
  A-J                   AAA (sf)        7.50
  B                     AA (sf)        37.50
  C                     A (sf)         18.00
  D-1                   BBB (sf)       14.25
  D-2                   BBB- (sf)       6.00
  E                     BB- (sf)        8.25
  Subordinated notes    NR            25.739

  NR--Not rated.


[*] S&P Takes Various Actions on 196 Classes From 40 US CLO Deals
-----------------------------------------------------------------
S&P Global Ratings took various rating actions on 196 classes of
notes from 40 U.S. cash flow CLO transactions. Seventy-four of
these ratings had been placed on CreditWatch negative following the
outbreak of the COVID-19 pandemic. Of the 74 ratings on CreditWatch
negative, S&P affirmed 12 and lowered 62, and it removed them all
from CreditWatch. In addition, S&P affirmed 117 ratings, raised
two, and lowered one not on CreditWatch and also placed two ratings
on CreditWatch with negative implications.

These CLOs had one or more tranches placed on CreditWatch with
negative implications following the outbreak of the pandemic in the
U.S. S&P's actions resolve these CreditWatch placements as well as
place two additional ratings on CreditWatch with negative
implications.

All of the CLOs in the current batch are broadly syndicated loan
(BSL) CLOs that have exited their reinvestment period. As CLOs in
the amortization phase have unique situations, such as paydowns and
increased concentration risk, the rating movements can at times be
more than a notch. In addition, the same CLO can have both upgrades
for the senior tranches and downgrades for the junior tranches.

"The rating actions follow the application of our global corporate
CLO criteria and our credit and cash flow analysis of each
transaction. Our analysis of the transactions entailed a review of
their performance, and the ratings list table below highlights key
performance metrics behind specific rating changes," S&P said.

In line with its criteria, S&P's cash flow scenarios applied
forward-looking assumptions on the expected timing and pattern of
defaults, and recoveries upon default, under various interest rate
and default scenarios. In addition, S&P's analysis considered the
transactions ability to pay timely interest and/or ultimate
principal to each of its rated tranches.

"The results of the cash flow analysis and other qualitative
factors, as applicable, demonstrated in our view that all of the
rated outstanding classes have adequate credit enhancement
available at the rating levels associated with these rating actions
following the rating actions," the rating agency said.

While each tranche's indicative cash flow results were one primary
factor, S&P also incorporated various considerations into S&P's
decisions to raise, lower, affirm, or limit the ratings when
reviewing the indicative ratings suggested by the rating agency's
projected cash flows. Some of these considerations may include:

-- Forward-looking scenarios for 'CCC' and 'CCC-' rated
collateral;

-- Existing subordination or overcollateralization and recent
trends;

-- Cushion available for coverage ratios and comparative analysis
with other CLO tranches with similar ratings;

-- Exposure to assets in stressed industries and/or stressed
market values;

-- Exposure to assets whose ratings are currently on CreditWatch
negative;

-- Increased concentration;

-- Risk of imminent default; and

-- Additional sensitivity runs to account for any of the above.

The downgrades primarily reflect the cash flow results and
supplemental test but also incorporate some of the forward-looking
and qualitative considerations mentioned above.

S&P's ratings on the some classes were constrained by the
application of the largest-obligor default test, a supplemental
stress test included as part of the rating agency's corporate CLO
criteria. The test is intended to address event and model risks
that might be present in rated transactions.

"Ratings lowered to the 'CCC' category reflect our view based on
forward-looking analysis on existing 'CCC' and/or 'CCC-' exposure
that the previous credit enhancement has deteriorated--or is likely
to deteriorate--such that the class is vulnerable and dependent on
favorable market conditions. Such market conditions undergo
analysis in accordance with our guidance criteria," S&P said.

"The affirmations indicate our opinion that the current enhancement
available to those classes is commensurate with their current
ratings," the rating agency said.

S&P placed its ratings on Marathon CLO V Ltd.'s class A-2-R notes
and Marathon CLO VI Ltd.'s class A-2-R2 notes on CreditWatch with
negative implications because the rating agency views these
specific tranches as likely to face adverse credit conditions in
the short term that could affect their existing credit support. The
cash flow results of both tranches are failing at their current
rating level, and the credit quality of the respective portfolios
has deteriorated. Although the portfolios have some assets with
ratings still on CreditWatch negative, the 'CCC' exposure of both
CLOs appears to have declined slightly over the last few months
(but still has increased since the time of the last rating action).
In addition, the continuation of any junior overcollateralization
test failure could result in more paydowns to the senior-most note.
As a result, S&P intends to resolve these new CreditWatch
placements over the next few months after monitoring the
performance.

S&P upgraded two tranches of CLOs in their amortization periods
whose senior note balances have declined due to paydowns. The lower
balance of the senior notes typically increased the
overcollateralization levels, which is one of the primary reasons
for the upgrades.

However, increased overcollateralization levels by themselves did
not result in upgrades. Given the uncertainty during this
coronavirus pandemic, S&P wanted to ensure that such upgrades can
be sustained in case the economic environment worsens in the next
few quarters. As a result, for upgrades, S&P considered only the
senior tranches that were rated in the 'AA' category and that met
one or more higher thresholds that the rating agency determined for
this purpose. These metrics focused on a minimum
overcollateralization threshold, lower level of exposure to assets
in the 'CCC' category, and the existing number of obligors (to
ensure diversity). Only those 'AA (sf)' rated tranches whose cash
flows pointed to upgrades even in S&P's forward sensitivity runs
and met one or more the higher requirements were considered for
upgrades.

There are a few CLOs in this batch that have paid down
significantly and are left with less than 20 performing obligors.
As a result, the current portfolio is not well diversified and is
highly concentrated. Given the lack of diversification, S&P did not
generate cash flows for such CLOs, and its analysis and rating
decisions instead examined other metrics such as the credit quality
of the remaining assets that support the rated notes, the remaining
life in the transaction, the paydown history, and its supplemental
tests.

S&P acknowledges a high degree of uncertainty about the evolution
of the coronavirus pandemic. The consensus among health experts is
that the pandemic may now be at, or near, its peak in some regions
but will remain a threat until a vaccine or effective treatment is
widely available, which may not occur until the second half of
2021.

"We are using this assumption in assessing the economic and credit
implications associated with the pandemic. As the situation
evolves, we will update our assumptions and estimates accordingly,"
S&P said.

S&P will continue to review whether the ratings assigned to the
notes remain consistent with the credit enhancement available to
support them and take rating actions as it deems necessary.

A list of Affected Ratings can be viewed at:

              https://bit.ly/2RiaKux


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
the prior week we think are reliable.  Those sources may not,
however, be complete or accurate.  The Monday Bond Pricing table
is compiled on the Friday prior to publication.  Prices reported
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Monthly Operating Reports are summarized in every Saturday edition
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The Sunday TCR delivers securitization rating news from the week
then-ending.

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Troubled Company Reporter is a daily newsletter co-published
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